Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics Hardcover - 2014
by Paolo Brandimarte
From the rear cover
AN ACCESSIBLE TREATMENT OF MONTE CARLO METHODS, TECHNIQUES, AND APPLICATIONS IN THE FIELD OF FINANCE AND ECONOMICS
Providing 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 applications of Monte Carlo methods in financial engineering and economics. Written by an international leading expert in the field, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applications of Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction and motivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysis and 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 essentials
? Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach
? An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods
? Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation
The 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.
Details
- Title Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics
- Author Paolo Brandimarte
- Binding Hardcover
- Pages 688
- Volumes 1
- Language ENG
- Publisher Wiley
- Date 2014-05-05
- ISBN 9780470531112 / 0470531118
- Weight 2.95 lbs (1.34 kg)
- Dimensions 10.1 x 7.1 x 1.5 in (25.65 x 18.03 x 3.81 cm)
-
Themes
- Aspects (Academic): Business Aspects
- Library of Congress subjects Finance - Mathematical models, Economics - Mathematical models
- Library of Congress Catalog Number 2013047832
- Dewey Decimal Code 330.015
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Handbook In Monte Carlo Simulation: Applications In Financial Engineering, Risk Management, And Economics
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Handbook In Monte Carlo Simulation: Applications In Financial Engineering, Risk Management, And Economics
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