Monte Carlo Methods - Books and review articles

Books

• Art B. Owen, Monte Carlo theory, methods and examples Only available on-line, and only 10 of the 17 chapters are posted.
• D.P. Kroese, T. Taimre, Z.I. Botev, Handbook of Monte Carlo Methods . Available on-line through the UA library. Click on the "Find on the web" link.
• Rubinstein, Kroese, Simulation and and the Monte Carlo Method (2008) Available on-line through the UA library. Click on the "Find on the web link.
• Fishman, Monte Carlo: Concepts, Algorithms, and Applications
• Fishman, A first course in Monte Carlo
• Kalos, Whitlock (2008), Monte Carlo Methods
• Hammersley, Handscomb (1964/1975), Monte Carlo Methods
  
  
• Liu (2001), Monte Carlo strategies in scientific computing . Emphasizes statistics.
• Robert and Casella (2004), Monte Carlo statistical methods . Emphasizes statistics. Available through Springer link
• Congdon (2010), Applied Bayesian hierarchical methods . Emphasizes statistics.
• Landau and Binder (2009), A guide to Monte Carlo simulations in statistical physics . Emphasizes physical science.
• Newman and Barkema (1999), Monte Carlo methods in statistical physics. Emphasizes physical science.
• Glasserman (2004), Monte Carlo methods in financial engineering . Emphasizes finance.

Review articles

• Dirk Kroese, Monte Carlo Methods Notes from a 2011 summer school. They are "a highly condensed version" of Handbook of Monte Carlo Methods by D.P. Kroese, T. Taimre, Z.I. Botev.

Background books