wanted3

Books:

Brigo & Mercurio - Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit 

Warren Gilchrist - Statistical Modelling with Quantile Functions

Roman Frydman, Michael Goldberg 2007 - Imperfect Knowledge Economics 

Ekeland, Ivar The Best of All Possible Worlds: Mathematics and  destiny. 208 p., 17 halftones, 10 line drawings. 6 x 9 2006

John Lloyd e John Mitchinson Einaudi 2007 - Il Libro dell´ignoranza 

De Finetti - I fondamenti della Probabilita'

Various: 

(All papers by Frances Kuo, at ScienceDirect, larger list.

I.e.:)

* J. Dick and F. Y. Kuo, "Constructing good lattice rules with millions of points", Monte Carlo and Quasi-Monte Carlo Methods 2002 (H. Niederreiter, ed.), Springer-Verlag, 181 - 197 (2004).

SIAM: 

Burrage & Burrage - A Variable Stepsize Implementation for Stochastic Differential Equations

IEEE:

Soijanin 2002 - Writing sequences on the plane

Singhee, Amith; Rutenbar, Rob A. 2007 - From Finance to Flip Flops: A Study of Fast Quasi-Monte Carlo Methods from Computational Finance Applied to Statistical Circuit Analysis

JSTOR:

Rumelin 1982 -  Numerical Treatment of Stochastic Differential Equations

Saito 1996 - Stability Analysis of Numerical Schemes for Stochastic Differential Equations 

Harald Niederreiter - The Existence of Efficient Lattice Rules for Multidimensional Numerical Integration

Affine Term Structure Models and the Forward Premium Anomaly
David K. Backus, Silverio Foresi, Chris I. Telmer
Journal of Finance, Vol. 56, No. 1 (Feb., 2001), pp. 279-304

Janicki & Weron 1995 - Simulation and Chaotic Behaviour of $\alpha$-Stable Stochastic Processes

Koutras 1986 - On the generalized noncentral chi-square distribution induced by an elliptical gamma law 

R. C. H. Cheng, W. B. Liu 1997 - A Continuous Representation of the Family of Stable Law Distributions 

A. S. Paulson, E. W. Holcomb, R. A. Leitch 1975 - The Estimation of the Parameters of the Stable Laws

Gelfand & Smith 1990 - Sampling-Based Approaches to Calculating Marginal Densities

Joe 1999 - An Average L2 Discrepancy for Number-Theoretic Rules

Cranley-Patterson 1976 - Randomization....integration

****** Smith & Hocking 1972 - Wishart variate generator

Springer:

Kola 2006 - Software Architecture Framework for On-Line Option Pricing

Masashi Egi, Takashi Matsushita, Seiji Futatsugi and Keizaburo Murakami 2006 - Random Matrix Theory Applied to Portfolio Optimization in Japanese Stock Market

** AAVV 1997 - Sequences, Discrepancies and Applications

** AAVV 2006 - MCQMC 2004 (in particular Weighted Star Discrepancy of Digital Nets in Prime Bases)

Do & Hall 1991 - Quasi-random resampling for the bootstrap 

Hesterberg - Control variates and importance sampling for efficient bootstrap simulations

Chan etc - Enhanced Tilley’s bundling algorithm using memory reduction Monte Carlo method

*** George Takhtamyshev, Bart Vandewoestyne and Ronald Cools - Quasi-random integration in high dimensions 

Reiichiro Kawai 2007 - Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation

**** Boyle, Imai, Tan 2008 - Computation of optimal portfolios using simulation-based dimension reduction

Damelin 2008 - A walk through energy, discrepancy, numerical integration and group invariant measures on measurable subsets of euclidean space

Di Cesare 2008 - Simulation of jump diffusions and the pricing of options

Kim 2006 - Linear Complexity over Fp of Ternary Sidel’nikov Sequences

Elsevier: 

Harrison & Kreps 1979 - Martingales and arbitrage in multiperiod securities markets

****** Tezuka 2004 - Monte Carlo Grid for financial risk management

** Jank 2004 - QMC for improving the efficiency of the MC EM algorithm  

Others:

***Wang 2006 - On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance

Kelton 2006 - Numerical Methods for Realizing Nonstationary Poisson Processes with Piecewise-Constant Instantaneous-Rate Functions

Tsallis - Nonextensive statistical mechanics - An introduction

Shevchenko Pavel 2003 - Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling - J. Computational Finance 

Metwally, S.A.K.; Atiya, A.F. - Fast Monte Carlo valuation of barrier options for jump diffusion processes

Cao, L.J.   Chong, W.K. 2002 - Feature extraction in support vector machine: a comparison of PCA, XPCA and ICA

J Comp Fin

Chaudhary 2005 - American options and the LSM algorithm

also on SSRN

ACM:

Whiten 1995 - Regarding test functions for multi-dimensional integration

Boyle 2006 - Application of high-precision computing for pricing arithmetic asian options

Thomas et al 2007 - Gaussian random number generators

Thomas et al - FPGA-optimised high-quality uniform random number generators

Tsuda 1970 - Nonlinear Interpolation of Multivariable Functions by the Monte Carlo Method

JSTOR:  

Shea 1991 - Algorithm AS R85: A Remark on AS 91: The Percentage Points of the $\chi^2$ Distribution

Yoshihiro Saito, Taketomo Mitsui 1996 - Stability Analysis of Numerical Schemes for Stochastic Differential Equations 

Boyle & Tan 1990 - An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets

Lambek & Moser 1954 - Inverse and Complementary Sequences of Natural Numbers

Harrell & Davis 1982 - A new distribution free quantile estimator

Brockett 1983 - On the Misuse of the Central Limit Theorem in Some Risk Calculations 

Springer

Sergei Kucherenko ^, Yury Sytsko 2004 - Application of Deterministic Low-Discrepancy Sequences in Global Optimization

Weyl - Über die Gleichverteilung von Zahlen mod. Eins

Donald R. Jones 2004 -  A Taxonomy of Global Optimization Methods Based on Response Surfaces

Schurer & Schmid 2006 -  MinT: A Database for Optimal Net Parameters

Bruno de Finetti - I fondamenti della probabilità 

Thomas & Luk 2007 - High Quality Uniform Random Number Generation Using LUT Optimised State-transition Matrices

Herendi 1997 - Fast gaussian random number generation using linear transformations

Tsuda 1972 - Numerical integration of functions of very many variables

Tsuda 1974 - Nonlinear interpolation of functions of very many variables

Niederreiter 1971 - On a number theoretical integration method 

** Bandyopadhyay & Sarker 1986 - Implementation and comparative study of random sequences for nonlinear least square data fitting

Elsevier

Baker 1998 -  A note on the proper use of the Numerical Recipes RAN1 random number generator

Takemi & Ogawa 2003 - Report on the numerical experiments of Haselgrove’s method applied to the numerical solution of PDEs

Ooura 2002 - A generalization of the continuous Euler transformation and its application to numerical quadrature

Mayinur Muhammad and Masatake Mori 2003 - Double exponential formulas for numerical indefinite integration

Ooura & Mori 1990 - The double exponential formula for oscillatory functions over the half infinite interval

** Henry Schellhorn and Zhihua Chen 2006 - A new simulation approach to the LIBOR market model   

* Shen etc - Linear B-spline copulas with applications to nonparametric estimation of copulas

Pewsey 2007 - The wrapped stable family of distributions as a flexible model for circular data

Bock & Vichi 2007 - Statistical Learning Methods Including Dimensionality Reduction

* Cumming & Wooff 2007 - Dimension reduction via principal variables

** Park 2007 - Sampling streaming data with replacement  

* Ollila 2008 - Complex-valued ICA based on a pair of generalized covariance matrices

Marrel 2008 - An efficient methodology for modeling complex computer codes with Gaussian processes

**  Kim 2006 - Comparison of semiparametric and parametric methods for estimating copulas

Davis 2006 - Graphing Kendall's tau

* Gelper 2006 - Multivariate out-of-sample tests for Granger causality

Hazelton 2006 - Reweighted kernel density estimation

*  Smidt & Quinn 2007 - On Bayesian principal component analysis

Wu 2006 - A computationally efficient method for nonlinear mixed-effects models with nonignorable missing data in time-varying covariates

** Nalan Gülpınar and Berc Rustem 2008 - Robust optimal decisions with imprecise forecasts

Ausin 2006 - Bayesian estimation of the Gaussian mixture GARCH model

Lombardi 2006 - Bayesian inference for -stable distributions: A random walk MCMC approach

Abellanas 2006 - Point set stratification and Delaunay depth

* Pan & Thompson 2006 - Quasi-Monte Carlo estimation in generalized linear mixed models

Yoo 2008 - A novel moment-based sufficient dimension reduction approach in multivariate regression

Shapiro 2008 - Fuzzy random variables 

Pillichshammer - On the root mean square weighted L₂ discrepancy of scrambled nets

Colubi etc 2001 - On the formalization of fuzzy random variables check!

Colubi etc 2006 - Triangular fuzzification of random variables and power of distribution tests: Empirical discussion

Various

*** Sobol on GSA - MC estimates affected by random errors  

Deak 2003 - Probabilities of simple ndimensional sets for the normal distribution 

Deak 2004 -  Subroutines for Computing Normal Probabilities of Sets—Computer Experiences

*** Dick 2004 - On the convergence rate of the component-by-component construction of good lattice rules

Baker 1996 - On the WMC density as an inverse Gaussian probability density

Zhu 2006 - An exact and explicit solution for the valuation of american put options

Ribeiro 2006 - Correcting for simulation bias in MC methods to value exotic options on models driven by Levy processes

*** Boik 2003 - Principal component models for correlation matrices

Kroner, Ng - Modeling the time varying comovement of asset returns

Kroner, Ng - Modeling asymmetric comovements of asset returns 

Kollo, von Rosen 2005 - Approximating with the Wishart distribution

Yu and Huang 2001 - A distribution free plotting position

Zvang et al 2001 - A finite volume approach to the valuation of contingent claims

Berton 2006 - Finite Volume methods for the valuation of american options

Delves 1977 - A fast method for the solution of Fredholm integral equations

A Survey of Numerical Methods for the Solution of Fredholm Integral Equations of the Second Kind by Kendall E. Atkinson

Various papers on the exponential function

*** Stephen Joe 2007 - Lattice rules for integration over R^s

** Lai & Tan 2007 - Weighted intermediate rank lattice rules with applications in finance