Handbook in Monte Carlo Simulation
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- Synopsis
- An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economicsProviding readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization.The Handbook in Monte Carlo Simulation features:An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentialsCarefully crafted examples in order to spot potential pitfalls and drawbacks of each approachAn accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methodsNumerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentationThe Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.
- Copyright:
- 2014
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9781118594513
- Related ISBNs:
- 9780470531112
- Publisher:
- Wiley
- Date of Addition:
- 02/15/15
- Copyrighted By:
- John Wiley & Sons
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.