Handbook in Monte Carlo Simulation - Applications in Financial Engineering, Risk Management, and Economics (Hardback)
  • Handbook in Monte Carlo Simulation - Applications in Financial Engineering, Risk Management, and Economics (Hardback)
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Handbook in Monte Carlo Simulation - Applications in Financial Engineering, Risk Management, and Economics (Hardback)

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£123.00
Hardback 688 Pages / Published: 06/06/2014
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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 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.

Publisher: John Wiley & Sons Inc
ISBN: 9780470531112
Number of pages: 688
Weight: 1340 g
Dimensions: 253 x 184 x 40 mm

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