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Showing posts from August, 2014

The Best Books for Monte Carlo Methods

The following are some of the best books to own to learn Monte Carlo methods for sampling and estimation problems

Monte Carlo Methods in Statistics (Springer)
This is a good book which discusses both Bayesian methods from a practical point of view as well as theoretical point of view with integrations. The explanations given are also fairly comprehensive. There are also a fair amount of examples in this text. Overall, this is an excellent book to own if you want to understand Monte Carlo sampling methods and algorithms at an intermediate to graduate level.

Explorations in Monte Carlo Methods (Undergraduate Texts in Mathematics)
This is good book to own to get you started on Monte Carlo methods. It starts with fairly simple and basic examples and illustrations. The mathematics used is also fairly basic. Buy this if you are at an undergraduate level and want to get into using Monte Carlo methods but have only a basic knowledge of statistics and probability.

Monte Carlo Methods in Financial…