最新蒙特卡洛手册Handbook in Monte Carlo Simulati

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收藏 2014-11-28

Title: Handbook in Monte Carlo Simulation:
Applications in Financial Engineering, Risk Management, and Economics
Arthur: Paolo Brandimarte
English | 2014 | ISBN: 0470531118 | ISBN-13: 9780470531112 | 688 pages | PDF | 29,3 MB

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.

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Handbook in Monte Carlo Simulation Applications in Financial Engineering, Risk M.rar