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Metody i modele Monte Carlo w finansach i ubezpieczeniach od Ralf Korn Ships Fast–
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Znajduje się w: Union Grove, Wisconsin, Stany Zjednoczone
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Parametry przedmiotu
- Stan
- Book Title
- Monte Carlo Methods and Models in Finance and Insu
- Genre
- Finance
- Subject
- Insurance
- ISBN
- 9781420076189
- Publication Name
- Monte Carlo Methods and Models in Finance and Insurance
- Item Length
- 9.4in
- Publisher
- CRC Press LLC
- Publication Year
- 2010
- Series
- Chapman and Hall/Crc Financial Mathematics Ser.
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Item Height
- 1.2in
- Item Width
- 6.5in
- Item Weight
- 28.9 Oz
- Number of Pages
- 484 Pages
O tym produkcie
Product Information
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.
Product Identifiers
Publisher
CRC Press LLC
ISBN-10
1420076183
ISBN-13
9781420076189
eBay Product ID (ePID)
66543174
Product Key Features
Publication Name
Monte Carlo Methods and Models in Finance and Insurance
Format
Hardcover
Language
English
Publication Year
2010
Series
Chapman and Hall/Crc Financial Mathematics Ser.
Type
Textbook
Number of Pages
484 Pages
Dimensions
Item Length
9.4in
Item Height
1.2in
Item Width
6.5in
Item Weight
28.9 Oz
Additional Product Features
Lc Classification Number
Hg106
Reviews
This book takes a straightforward line to discuss Monte Carlo experiments with financial and insurance applications, offering a step-by-step approach to Monte Carlo methods with extensive description of the algorithms required. this book includes a rigorous and concise description of numerous financial models and offers an up-to-date survey of this literature. This thorough book can be seen as a handbook on Monte Carlo methods and models for practitioners in finance and can be used in graduate courses on simulation models, numerical methods, financial mathematics, actuarial models and financial econometrics. It is certainly a toolkit of models and their corresponding Monte Carlo algorithms for practitioners and researchers in finance and insurance. "Journal of the Royal Statistical Society: Series A, July 2011, The collection of topics covered is quite impressive. e this book should serve as a valuable reference provided that one has sufficient background in finance, probability theory, and stochastic processes. It is self contained, and the formal background for each model is carefully described. This work also does an excellent job of providing an accessible source for many of the most recent financial models and latest Monte Carlo methods for their application. e"Maria L. Rizzo, The American Statistician, November 2011 This book is a comprehensive canter through the various Monte Carlo methods and their application in numerous financial models before rounding off with a high level assessment of their role within the insurance industry. The book covers a wide range of methods and models from old favourites like the Black-Scholes model to recent developments such as the multilevel Monte Carlo method. e the authors cleverly weave in example algorithms throughout the book which allows the user to mock up simple examples of the method. e a good reference book which was comprehensive in its coverage of the methods and financial models available. The book certainly brought to my attention methods and applications I was unaware of with discussion of some very recent developments. e what stood out about the book for me (apart from the wide coverage) was the use of example algorithms and numbers by the authors. e"Annals of Actuarial Science, Vol. 5, June 2011 This book takes a straightforward line to discuss Monte Carlo experiments with financial and insurance applications, offering a step-by-step approach to Monte Carlo methods with extensive description of the algorithms required. e this book includes a rigorous and concise description of numerous financial models and offers an up-to-date survey of this literature. This thorough book can be seen as a handbook on Monte Carlo methods and models for practitioners in finance and can be used in graduate courses on simulation models, numerical methods, financial mathematics, actuarial models and financial econometrics. It is certainly a toolkit of models and their corresponding Monte Carlo algorithms for practitioners and researchers in finance and insurance. e"Journal of the Royal Statistical Society: Series A, July 2011, The collection of topics covered is quite impressive. … this book should serve as a valuable reference provided that one has sufficient background in finance, probability theory, and stochastic processes. It is self contained, and the formal background for each model is carefully described. This work also does an excellent job of providing an accessible source for many of the most recent financial models and latest Monte Carlo methods for their application. -Maria L. Rizzo, The American Statistician, November 2011 This book is a comprehensive canter through the various Monte Carlo methods and their application in numerous financial models before rounding off with a high level assessment of their role within the insurance industry. The book covers a wide range of methods and models from old favourites like the Black-Scholes model to recent developments such as the multilevel Monte Carlo method. … the authors cleverly weave in example algorithms throughout the book which allows the user to mock up simple examples of the method. … a good reference book which was comprehensive in its coverage of the methods and financial models available. The book certainly brought to my attention methods and applications I was unaware of with discussion of some very recent developments. … what stood out about the book for me (apart from the wide coverage) was the use of example algorithms and numbers by the authors. -Annals of Actuarial Science, Vol. 5, June 2011 This book takes a straightforward line to discuss Monte Carlo experiments with financial and insurance applications, offering a step-by-step approach to Monte Carlo methods with extensive description of the algorithms required. … this book includes a rigorous and concise description of numerous financial models and offers an up-to-date survey of this literature. This thorough book can be seen as a handbook on Monte Carlo methods and models for practitioners in finance and can be used in graduate courses on simulation models, numerical methods, financial mathematics, actuarial models and financial econometrics. It is certainly a toolkit of models and their corresponding Monte Carlo algorithms for practitioners and researchers in finance and insurance. -Journal of the Royal Statistical Society: Series A, July 2011, This book is a comprehensive canter through the various Monte Carlo methods and their application in numerous financial models before rounding off with a high level assessment of their role within the insurance industry. The book covers a wide range of methods and models from old favourites like the Black-Scholes model to recent developments such as the multilevel Monte Carlo method. … the authors cleverly weave in example algorithms throughout the book which allows the user to mock up simple examples of the method. … a good reference book which was comprehensive in its coverage of the methods and financial models available. The book certainly brought to my attention methods and applications I was unaware of with discussion of some very recent developments. … what stood out about the book for me (apart from the wide coverage) was the use of example algorithms and numbers by the authors. -Annals of Actuarial Science, Vol. 5, June 2011 This book takes a straightforward line to discuss Monte Carlo experiments with financial and insurance applications, offering a step-by-step approach to Monte Carlo methods with extensive description of the algorithms required. … this book includes a rigorous and concise description of numerous financial models and offers an up-to-date survey of this literature. This thorough book can be seen as a handbook on Monte Carlo methods and models for practitioners in finance and can be used in graduate courses on simulation models, numerical methods, financial mathematics, actuarial models and financial econometrics. It is certainly a toolkit of models and their corresponding Monte Carlo algorithms for practitioners and researchers in finance and insurance. -Journal of the Royal Statistical Society: Series A, July 2011, The collection of topics covered is quite impressive. ... this book should serve as a valuable reference provided that one has sufficient background in finance, probability theory, and stochastic processes. It is self contained, and the formal background for each model is carefully described. This work also does an excellent job of providing an accessible source for many of the most recent financial models and latest Monte Carlo methods for their application. --Maria L. Rizzo, The American Statistician, November 2011 This book is a comprehensive canter through the various Monte Carlo methods and their application in numerous financial models before rounding off with a high level assessment of their role within the insurance industry. The book covers a wide range of methods and models from old favourites like the Black-Scholes model to recent developments such as the multilevel Monte Carlo method. ... the authors cleverly weave in example algorithms throughout the book which allows the user to mock up simple examples of the method. ... a good reference book which was comprehensive in its coverage of the methods and financial models available. The book certainly brought to my attention methods and applications I was unaware of with discussion of some very recent developments. ... what stood out about the book for me (apart from the wide coverage) was the use of example algorithms and numbers by the authors. --Annals of Actuarial Science, Vol. 5, June 2011 This book takes a straightforward line to discuss Monte Carlo experiments with financial and insurance applications, offering a step-by-step approach to Monte Carlo methods with extensive description of the algorithms required. ... this book includes a rigorous and concise description of numerous financial models and offers an up-to-date survey of this literature. This thorough book can be seen as a handbook on Monte Carlo methods and models for practitioners in finance and can be used in graduate courses on simulation models, numerical methods, financial mathematics, actuarial models and financial econometrics. It is certainly a toolkit of models and their corresponding Monte Carlo algorithms for practitioners and researchers in finance and insurance. --Journal of the Royal Statistical Society: Series A, July 2011
Table of Content
Introduction and User Guide Introduction and concept Contents How to use this book? Further literature Acknowledgements Generating Random Numbers Introduction Examples of random number generators Testing and analyzing RNGs Generating random numbers with general distributions Selected distributions Multivariate random variables Quasi random sequences as a substitute for random sequences Parallelization techniques The Monte Carlo Method: Basic Principles and Improvements Introduction The strong law of large numbers and the Monte Carlo method Improving the speed of convergence of the Monte Carlo method: Variance reduction methods Further aspects of variance reduction methods Simulating Continuous-Time Stochastic Processes with Continuous Paths Introduction Stochastic processes and their paths: Basic definitions The Monte Carlo method for stochastic processes Brownian motion and the Brownian bridge Basics of Itô calculus Stochastic differential equations Simulating solutions of stochastic differential equations Which simulation methods for SDE should be chosen? Simulating Financial Models and Pricing of Derivatives: Continuous Paths Introduction Basics of stock price modeling A Black-Scholes type stock price framework Basic facts of options An introduction to option pricing Option pricing and the Monte Carlo method in the Black-Scholes setting Weaknesses of the Black-Scholes model Local volatility models and the CEV model An excursion: Calibrating a model Option pricing in incomplete markets: Some aspects Stochastic volatility and option pricing in the Heston model Variance reduction principles in non-Black-Scholes models Stochastic local volatility models Monte Carlo option pricing: American and Bermudan options Monte Carlo calculation of option price sensitivities Basics of interest rate modeling The short rate approach to interest rate modeling The forward rate approach to interest rate modeling LIBOR market models Simulating Continuous-Time Stochastic Processes: Discontinuous Paths Introduction Poisson processes and Poisson random measures: Definition and simulation Jump diffusions: Basics, properties, and simulation Lévy processes: Definition, properties, and examples Simulation of Lévy processes Simulating Financial Models: Discontinuous Paths Introduction Merton's jump diffusion model and stochastic volatility models with jumps Special Lévy models and their simulation Simulating Actuarial Models Introduction Premium principles and risk measures Some applications of Monte Carlo methods in life insurance Simulating dependent risks with copulas Non-life insurance Markov chain Monte Carlo and Bayesian estimation Asset-liability management and Solvency II References Index
Copyright Date
2010
Topic
Investments & Securities / Bonds, Differential Equations / General, Finance / General, Decision-Making & Problem Solving, Probability & Statistics / General, General, Investments & Securities / Stocks
Lccn
2009-045581
Dewey Decimal
518
Intended Audience
Scholarly & Professional
Dewey Edition
22
Illustrated
Yes
Genre
Business & Economics, Mathematics
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