蒙特卡罗方法参考书

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蒙特卡罗方法参考书:

K. Binder and D. W. Heerman.
  Monte Carlo Simulation in Statistical Physics - An Introduction, volume 80 of Springer Series in Solid-State Sciences. Springer-Verlag, Berlin/Heidelberg, 3rd edition, 1997.

P. Bremaud.
  Markov Chains : Gibbs Fields, Monte Carlo Simulation, and Queues, volume 31 of Texts in Applied Mathematics. Springer-Verlag, Berlin/Heidelberg, 1999.

M. Evans and T. Swartz.
  Approximating Integrals via Monte Carlo and Deterministic Methods, volume 20 of Oxford Statistical Science Series. Oxford University Press, New York, 2000.

K. T. Fang and Y. Wang.
  Number Theoretic Methods in Statistics. Chapman and Hall, New York, 1994.

G.S. Fishman.
  Monte Carlo: Concepts, Algorithms, and Applications, volume 1 of Springer Series in Operations Research. Springer-Verlag, New York, 1996.

D. Gamerman.
  Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference. CRC Press LLC, Boca Raton, 1997.

J.E. Gentle.
  Random Number Generation and Monte Carlo Methods. Statistics and Computing. Springer-Verlag, Berlin/Heidelberg, 2nd edition, 2000.

W.R. Gilks, S. Richardson, and D.J. Spiegelhalter.
  Markov Chain Monte Carlo in Practice. CRC Press LLC, Boca Raton, 1995.

M.H. Kalos and P.A. Whitlock.
  Monte Carlo Methods, volume 1: Basics. John Wiley, New York, 1986.

I Manno.
  Introduction to the Monte-Carlo Method. Akademiai Kiado, Budapest, 1999.

M.E.J Newman and G.T. Barkema.
  Monte Carlo Methods in Statistical Physics. Oxford University Press, 1999.

H. Niederreiter and P.J.-S. Shiue (eds.).
  Monte Carlo and Quasi-Monte Carlo Methods in scientific computing, volume 106 of Lecture Notes in Statistics. Springer-Verlag, New York, 1995.

H. Niederreiter and J. Spanier (eds.).
  Monte Carlo and Quasi-Monte Carlo Methods 1998. Springer-Verlag, Berlin, 2000.

H. Niederreiter, P. Hellekalek, G. Larcher, and P. Zinterhof (eds.).
  Monte Carlo and Quasi-Monte Carlo Methods 1996, volume 127 of Lecture Notes in Statistics. Springer-Verlag, New York, 1998.

H. Niederreiter.
  Random Number Generation and Quasi-Monte Carlo Methods. SIAM, Philadelphia, 1992.

C.P. Robert and G. Casella.
  Monte Carlo Statistical Methods. Springer Texts in Statistics. Springer-Verlag, Berlin/Heidelberg, 1999.

R. Y. Rubinstein.
  Simulation and the Monte Carlo Method. John Wiley & Sons, 1981.

I.H. Sloan and S. Joe.
  Lattice Methods for Multiple Integration. Oxford University Press, New York, 1994.

I.M. Sobol'.
  A Primer for the Monte Carlo Method. CRC Press LLC, Boca Raton, 1994.


D. Vose.
  Quantitative Risk Analysis, A Guide to Monte Carlo Simulation Modelling. John Wiley & Sons, New York, 1996. 2nd Edition to be published 2000.

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关键词：蒙特卡罗方法 蒙特卡罗 蒙特卡 参考书 Niederreiter 蒙特卡罗 Series volume

谢谢LZ推荐，沙发~~，要是能有下载就好了~~

想请教LZ：
金融领域中哪些方面需要用到MCMC方法，是不是在有分布假设下，模拟证券或其衍生品价格变动的轨迹或趋势呢？

楼上的， 很遗憾， 俺不是Monte Carlo专家，
无法回答你的问题， 至于MCMC（Markov Monte Carlo),
俺更是门外汉了。
下面的本论坛网址是学习资料， 你下载瞧瞧？

https://bbs.pinggu.org/thread-635014-1-1.html