Friday, 30 December 2016

This website provides extra material to the book published by CRC Press and to the 3rd year lectures on Monte-Carlo Methods at Ecole Polytechnique - University Paris-Saclay.

The first version of the book has been published by Editions de l'Ecole Polytechnique in 2013, in French, you can find it on Amazon or Ellipses. It is the support of a course at Ecole Polytechnique (1st year of MSc).

An extended version en English is published by CRC Press in 2016. See on Amazon.

The table of contents is available here.

On this website, you will find:
  • exercises of the book (either theoretical, or programming exercises)
  • some of the solutions to exercises
  • simulation demos
  • extra discussions or references about Monte-Carlo methods (some are in French and will be progressively translated in English)
  • errata (please contact me if you find typos in the book)
Many thanks to my colleagues, Aurélien Alfonsi, Stefano De Marco, Benjamin Jourdain for their suggestions of exercises and their continuous feedbacks about the lectures at Ecole Polytechnique.
Thank you also to my PhD students, Gustaw Matulewicz and Uladzislau Stazhynski, for their assistance in preparing the solutions to exercises and demos.

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