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This is page viii Printer: Opaque this
 

Summary: This is page viii
Printer: Opaque this
Contents
Preface v
Notation xii
I What This Book Is About 1
1 An Illustrative Example: The Single-Server Queue . . . 1
2 The Monte Carlo Method . . . . . . . . . . . . . . . . 5
3 Second Example: Option Pricing . . . . . . . . . . . . . 6
4 Issues Arising in the Monte Carlo Context . . . . . . . 9
5 Further Examples . . . . . . . . . . . . . . . . . . . . . 13
6 Introductory Exercises . . . . . . . . . . . . . . . . . . 25
Part A: General Methods and Algorithms 29
II Generating Random Objects 30
1 Uniform Random Variables . . . . . . . . . . . . . . . . 30
2 Nonuniform Random Variables . . . . . . . . . . . . . . 36
3 Multivariate Random Variables . . . . . . . . . . . . . 49
4 Simple Stochastic Processes . . . . . . . . . . . . . . . 59
5 Further Selected Random Objects . . . . . . . . . . . . 62
6 Discrete-Event Systems and GSMPs . . . . . . . . . . 65

  

Source: Asmussen, Søren - Department of Mathematical Sciences, Aarhus Universitet

 

Collections: Mathematics