О недостатках метода Монте-Карло

Встречал очень много дельной и конструктивной критической информации по Монте-Карло.

Здесь несколько работ

John K. Hollmann. The Monte-Carlo Challenge: A Better Approach

http://www.validest.com/Hollmann_Risk.pdf

Experimentation by Simulation and Monte Carlo

http://www.rand.org/pubs/papers/2009/P1174.pdf

FPA Journal - The Problems with Monte Carlo Simulation

http://spwfe.fpanet.org:10005/public/Unclassified%20Records/FPA%20Journal%20November%202001%20-%20The%20Problems%20with%20Monte%20Carlo%20Simulation.pdf

Monte Carlo Simulation For Advanced Option Pricing: A Simplifying Tool

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=704523

Monte Carlo Methods in Quantitative Finance

http://math.ucalgary.ca/~aware/amat601.21/docs/allslides.pdf