Format:
1 online resource (485 pages)
Edition:
1st ed.
ISBN:
9781420076189
,
9781420076196
Series Statement:
Chapman and Hall/CRC Financial Mathematics Series
Content:
Offering a unique balance between applications and calculations, this book incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Romberg method, and the Heath-Platen estimator, as well as recent financial and actuarial models, such as the Cheyette and dynamic mortality models. The book enables readers to find the right algorithm for a desired application and illustrates complicated methods and algorithms with simple applications to provide an easy understanding of key properties
Note:
Cover -- Title -- Copyright -- Contents -- List of Algorithms -- Chapter 1: Introduction and User Guide -- Chapter 2: Generating Random Numbers -- Chapter 3: The Monte Carlo Method: Basic Principles -- Chapter 4: Continuous-Time Stochastic Processes: Continuous Paths -- Chapter 5: Simulating Financial Models: Continuous Paths -- Chapter 6: Continuous-Time Stochastic Processes: Discontinuous Paths -- Chapter 7: Simulating Financial Models: Discontinuous Paths -- Chapter 8: Simulating Actuarial Models -- References -- Index
Additional Edition:
Print version Korn, Ralf Monte Carlo Methods and Models in Finance and Insurance Milton : Taylor & Francis Group,c2010 ISBN 9781420076189
Language:
English
Keywords:
Electronic books
URL:
FULL
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