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Monte Carlo methods and models in finance and insurance /
"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, includin...
| Cote: | Libro Electrónico |
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| Auteur principal: | |
| Autres auteurs: | , |
| Format: | Électronique eBook |
| Langue: | Inglés |
| Publié: |
Boca Raton, FL :
CRC Press/Taylor & Francis,
©2010.
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| Collection: | Chapman & Hall/CRC financial mathematics series.
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| Sujets: | |
| Accès en ligne: | Texto completo |
| Résumé: | "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 dynamic 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 dynamic 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. |
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| Description matérielle: | 1 online resource (xiii, 470 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 441-457) and index. |
| ISBN: | 9781420076196 1420076191 0429149174 9780429149177 1282902377 9781282902374 9786612902376 661290237X |