A Workout in Computational Finance 2013
DOI: 10.1002/9781119973515.ch10
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Advanced Monte Carlo Techniques

Abstract: ABSTRACT. This Chapter starts with a description of Monte Carlo techniques to study many-body systems in the canonical (constant-NVT), isobaric-isothermal (constant-NPT) and grand-canonical (constant-pVT) ensembles. Subsequently, I give a unified description of two families of 'smart' Monte Carlo schemes, namely Swendsen-Wang-style cluster moves, and configurational-bias MC techniques for collective moves of pre-selected particles. Next, I briefly discuss free-energy calculations in the context of first-order … Show more

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