Direct Simulation Monte Carlo (DSMC) method
Applied both in computational engineering and finance
PEOPLE
- Graeme Bird, Emeritus Prof of Aeronautics, University of Sydney, proposed the Direct Simulation Monte Carlo (DSMC) method,
- Mike Giles, Professor of Scientific Computing, Oxford, http://www.maths.ox.ac.uk/contact/details/gilesm
- GA Birth, http://www.aeromech.usyd.edu.au/dsmc_gab/
- Prof. Einar Kruis, Institute of technology for Nanostructures, Universität Duisburg-Essen, (CFD+Monte Carlo) link
Books/ Lecture Notes:
- D.P. Kroese, T. Taimre, Z.I. Botev (2011). Handbook of Monte Carlo Methods, Wiley Series in Probability and Statistics, John Wiley and Sons, New York.
- Lecture Notes: Monte Carlo Methods, http://www.maths.uq.edu.au/~kroese/mccourse.pdf
Code: free / commercial
- Matlab, source program, http://www.maths.uq.edu.au/~kroese/montecarlohandbook/
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