| Record Type: |
Electronic resources
: monographic
|
| Author: |
KornRalf, |
| Secondary Intellectual Responsibility: |
KornElke, 1962- |
| Secondary Intellectual Responsibility: |
KroisandtGerald, |
| Place of Publication: |
Boca Raton, FL |
| Published: |
CRC Press/Taylor & Francis; |
| Year of Publication: |
c2010 |
| Description: |
1 online resource (xiii, 470 p.)ill : |
| Series: |
Chapman & Hall/CRC financial mathematics series |
| Subject: |
Monte Carlo Method - |
| Subject: |
Economics - |
| Subject: |
Business mathematics - |
| Subject: |
Insurance - Mathematics - |
| Subject: |
Monte Carlo method - |
| Online resource: |
http://www.crcnetbase.com/isbn/978-1-4200-7618-9 |
| Notes: |
Description based on print version record |
| Summary: |
"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 Romberg method, and the Heath-Platen estimator, as well as recent financial and actuarial models, such as the Cheyette and dyclmic mortality models." "The authors separately discuss Monte Carlo techniques, stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to apply the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of standard Monte Carlo tools and for a detailed focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for standard simulation and the simulation of stochastic processes with continuous and discontinuous paths. It also covers a wide selection of popular models in finance and insurance, from Black-Scholes to stochastic volatility to interest rate to dyclmic mortality." "Through its many numerical and graphical illustrations and simple, insightful examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in various financial situations. The intuitive presentation encourages readers to implement and further develop the simulation methods."--Jacket |
| ISBN: |
9781420076196electronic bk. |
| ISBN: |
1420076191electronic bk. |
| ISBN: |
hbk. |
| ISBN: |
hbk. |
| Content Note: |
1. Introduction and user guide -- 2. Generating random numbers -- 3. The Monte Carlo method : basic principles -- 4. Continuous-time stochastic processes : continuous paths -- 5. Simulating financial models : continuous paths -- 6. Continuous-time stochastic processes : discontinuous paths -- 7. Simulating financial models : discontinuous paths -- 8. Simulating actuarial models |