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"Tremendous progress has taken place in the related areas of uniform pseudorandom number generation and quasi-Monte Carlo methods in the last five years. This volume contains recent important work in these two areas, and stresses the interplay between them. Some developments contained here have never before appeared in book form. Includes the discussion of the integrated treatment of pseudorandom numbers and quasi-Monte Carlo methods; the systematic development of the theory of lattice rules and the theory of nets and (t,s)-sequences; the construction of new and better low-discrepancy point sets and sequences; Nonlinear congruential methods; the initiation of a systematic study of methods for pseudorandom vector generation; and shift-register pseudorandom numbers."

"This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics."

"ABSTRAKPerhitungan financial risk (dalam hal ini market risk) merupakan pekerjaan yang cukup kompleks dalam instrumen investasi. Tesis ini menjelaskan bagaimana aplikasi metode Quasi Monte Carlo. Perhitungan Principal Component Analysis (PCA) didahului sebelum dilakukan simulasi untuk mengurangi dimensi faktor sehingga dapat dihasilkan faktor tertentu saja yang merupakan faktor dominan dalam pergerakan yield untuk obligasi, untuk perhitungan nilai value at risk.Data yang digunakan dalam penelitian ini adalah JIBOR 1 bulan-6 bulan, dan yield indeks bond 1 tahun ? 30 tahun yang berasal dari Bloomberg sebagai dasar pembentukan model simulasi. Sementara FR69 (tenor 5 tahun), FR70 (tenor 10 tahun), FR71(tenor 15 tahun), dan FR68 (tenor 20 tahun) untuk perhitungan nilai value at risk.Simulasi dilakukan dengan menggunakan software Matlab yang menghasilkan metode simulasi Quasi Monte Carlo memberikan hasil nilai value at risk yang lebih akurat dan konsisten dibandingkan dengan hasil simulasi Monte Carlo dan menghasilkan nilai capital requirement yang diperlukan

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ABSTRACTFinancial risk calculation (in this context is Market Risk) was complex work on investment instrument. On this thesis will explained about how Quasi-Monte Carlo method with Principal Component Analysis (PCA) used for reducing factor dimension to produce certain factor which one is dominant factor to explain yield movement for bond, which is used for calculating value at risk.Using data from Jakarta Interbank Offered Rate (JIBOR) 1-month until 6-month, and government bond yield index 1-year until 30-year which gathered from Bloomberg to form a model for simulation. The research objects were Indonesia Government Bond, FR69 (5 year term), FR70 (10 year term), FR71 (15 year term), and FR68 (20 year term) to calculate the value of value at risk for each bond.The Matlab software used for simulation giving the result that indicates the Quasi-Monte Carlo Method from the lowest to highest number of simulation giving more accurate and consistent result compared to Monte Carlo Method and produce the capital requirement value."

"The purpose of this handbook is to provide an accessible and comprehensive compendium of Monte Carlo techniques and related topics. It contains a mix of theory (summarized), algorithms (pseudo and actual), and applications. Since the audience is broad, the theory is kept to a minimum, this without sacrificing rigor. The book is intended to be used as an essential guide to Monte Carlo methods to quickly look up ideas, procedures, formulas, pictures, etc., rather than purely a monograph for researchers or a textbook for students. As the popularity of these methods continues to grow, and new methods are developed in rapid succession, the staggering number of related techniques, ideas, concepts and algorithms makes it difficult to maintain an overall picture of the Monte Carlo approach. This book attempts to encapsulate the emerging dynamics of this field of study."