The book illustrates the application of Monte Carlo methods in financial engineering and economics. The book is organized into five parts: introduction and motivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysis and variance reduction; and applications ranging from option pricing and risk management to optimization. Advanced topics like stochastic differential equations, low-discrepancy sequences, stochastic optimization, numerical methods for stochastic dynamic programming, risk measures, and Markov chain Monte Carlo methods are illustrated with practical applications and working R code is provided.

Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics / Brandimarte, Paolo. - STAMPA. - (2014).

Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics

BRANDIMARTE, PAOLO
2014

Abstract

The book illustrates the application of Monte Carlo methods in financial engineering and economics. The book is organized into five parts: introduction and motivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysis and variance reduction; and applications ranging from option pricing and risk management to optimization. Advanced topics like stochastic differential equations, low-discrepancy sequences, stochastic optimization, numerical methods for stochastic dynamic programming, risk measures, and Markov chain Monte Carlo methods are illustrated with practical applications and working R code is provided.
2014
9780470531112
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11583/2544951
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