Applications of Monte Carlo Methods to Finance and Insurance

Applications of Monte Carlo Methods to Finance and Insurance

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  • Author: Thomas N. Herzog
  • Publisher: ACTEX Publications
  • ISBN: 1566984335
  • Category : Business & Economics
  • Languages : en
  • Pages : 276


Monte Carlo Methods and Models in Finance and Insurance

Monte Carlo Methods and Models in Finance and Insurance

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  • Author: Ralf Korn
  • Publisher: CRC Press
  • ISBN: 1420076191
  • Category : Business & Economics
  • Languages : en
  • Pages : 485

Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance 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 Rom


Solutions Manual for Applications of Monte Carlo Methods to Finance and Insurance

Solutions Manual for Applications of Monte Carlo Methods to Finance and Insurance

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  • Author: Thomas N. Herzog
  • Publisher:
  • ISBN: 9781566984430
  • Category : Business mathematics
  • Languages : en
  • Pages : 67


Monte Carlo Methods in Financial Engineering

Monte Carlo Methods in Financial Engineering

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  • Author: Paul Glasserman
  • Publisher: Springer Science & Business Media
  • ISBN: 0387216170
  • Category : Mathematics
  • Languages : en
  • Pages : 603

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis


Monte Carlo Methods in Finance

Monte Carlo Methods in Finance

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  • Author: Peter Jäckel
  • Publisher: John Wiley & Sons
  • ISBN: 047149741X
  • Category : Business & Economics
  • Languages : de
  • Pages : 245

An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.


Monte Carlo Simulation and Finance

Monte Carlo Simulation and Finance

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  • Author: Don L. McLeish
  • Publisher: John Wiley & Sons
  • ISBN: 1118160940
  • Category : Business & Economics
  • Languages : en
  • Pages : 308

Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.


Handbook in Monte Carlo Simulation

Handbook in Monte Carlo Simulation

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  • Author: Paolo Brandimarte
  • Publisher: John Wiley & Sons
  • ISBN: 1118594517
  • Category : Business & Economics
  • Languages : en
  • Pages : 688

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 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 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.


Monte Carlo

Monte Carlo

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  • Author: George Fishman
  • Publisher: Springer Science & Business Media
  • ISBN: 1475725531
  • Category : Mathematics
  • Languages : en
  • Pages : 721

Apart from a thorough exploration of all the important concepts, this volume includes over 75 algorithms, ready for putting into practice. The book also contains numerous hands-on implementations of selected algorithms to demonstrate applications in realistic settings. Readers are assumed to have a sound understanding of calculus, introductory matrix analysis, and intermediate statistics, but otherwise the book is self-contained. Suitable for graduates and undergraduates in mathematics and engineering, in particular operations research, statistics, and computer science.


Conditional Monte Carlo

Conditional Monte Carlo

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  • Author: Michael C. Fu
  • Publisher: Springer Science & Business Media
  • ISBN: 1461562937
  • Category : Computers
  • Languages : en
  • Pages : 411

Conditional Monte Carlo: Gradient Estimation and Optimization Applications deals with various gradient estimation techniques of perturbation analysis based on the use of conditional expectation. The primary setting is discrete-event stochastic simulation. This book presents applications to queueing and inventory, and to other diverse areas such as financial derivatives, pricing and statistical quality control. To researchers already in the area, this book offers a unified perspective and adequately summarizes the state of the art. To researchers new to the area, this book offers a more systematic and accessible means of understanding the techniques without having to scour through the immense literature and learn a new set of notation with each paper. To practitioners, this book provides a number of diverse application areas that makes the intuition accessible without having to fully commit to understanding all the theoretical niceties. In sum, the objectives of this monograph are two-fold: to bring together many of the interesting developments in perturbation analysis based on conditioning under a more unified framework, and to illustrate the diversity of applications to which these techniques can be applied. Conditional Monte Carlo: Gradient Estimation and Optimization Applications is suitable as a secondary text for graduate level courses on stochastic simulations, and as a reference for researchers and practitioners in industry.


Handbook in Monte Carlo Simulation

Handbook in Monte Carlo Simulation

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  • Author: Paolo Brandimarte
  • Publisher: John Wiley & Sons
  • ISBN: 1118593642
  • Category : Business & Economics
  • Languages : en
  • Pages : 688

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 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 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.