Asmussen Soren, Glynn Peter W. Stochastic Simulation: Algorithms and Analysis

Springer, 2009. — 717 p. This book began as a revision of Elements of Computational Statistics, published by Springer in 2002. That book covered computationally-intensive statistical methods from the perspective of statistical applications, rather than from the standpoint of statistical computing. Most of the students in my courses in computational statistics were in a program...

Johns Hopkins University Press, 2012. — 790 p. — 4th edition — ISBN: 1421407949, 9781421407944 The fourth edition of Gene H. Golub and Charles F. Van Loan's classic is an essential reference for computational scientists and engineers in addition to researchers in the numerical linear algebra community. Anyone whose work requires the solution to a matrix problem and an...

Wiley, 2011. — 743 p. A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today's numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to...

5th Edition. — O’Reilly Media, Inc., 2013. — 1600 p. — ISBN: 1449355730. Get a comprehensive, in-depth introduction to the core Python language with this hands-on book. Based on author Mark Lutz’s popular training course, this updated fifth edition will help you quickly write efficient, high-quality code with Python. It’s an ideal way to begin, whether you’re new to programming...

Cambridge University Press, 2007. — 1262 p. Authors: William H. Press - Raymer Chair in Computer Sciences and Integrative Biology The University of Texas at Austin Saul A. Teukolsky - Hans A. Bethe Professor of Physics and Astrophysics Cornell University William T. Vetterling - Research Fellow and Director of Image Science ZINK Imaging, LLC Brian P. Flannery - Science, Strategy...

John Wiley & Sons, 2008. — 330 p. — ISBN: 978-0-470-02170-5. Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. The sequence of chapters starts with a description of Brownian motion, the random process which serves as the basic...