Handbook in Monte Carlo Simulation : Applications in Financial Engineering, Risk Management, and Economics Hardback
by Paolo Brandimarte
Part of the Wiley Handbooks in Financial Engineering and Econometrics series
Hardback
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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 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 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.
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Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:688 pages, Tables: 150 B&W, 0 Color; Graphs: 75 B&W, 0 Color
- Publisher:John Wiley & Sons Inc
- Publication Date:06/06/2014
- Category:
- ISBN:9780470531112
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Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:688 pages, Tables: 150 B&W, 0 Color; Graphs: 75 B&W, 0 Color
- Publisher:John Wiley & Sons Inc
- Publication Date:06/06/2014
- Category:
- ISBN:9780470531112