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OCoLC |
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20170124071126.4 |
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|a MAIN
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| 100 |
1 |
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|a Brandimarte, Paolo.
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| 245 |
1 |
0 |
|a Handbook in Monte Carlo simulation :
|b applications in financial engineering, risk management, and economics /
|c Paolo Brandimarte.
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| 264 |
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1 |
|a Hoboken, New Jersey :
|b John Wiley & Sons,
|c [2014]
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| 300 |
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|a 1 online resource.
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 490 |
1 |
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|a Wiley handbooks in financial engineering and econometrics
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| 504 |
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|a Includes bibliographical references and index.
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0 |
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|a Print version record and CIP data provided by publisher.
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| 520 |
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|a 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.
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| 505 |
0 |
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|a Half Title page; Title page; Copyright page; Preface; Part One: Overview and Motivation; Chapter One: Introduction to Monte Carlo Methods; 1.1 Historical origin of Monte Carlo simulation; 1.2 Monte Carlo simulation vs. Monte Carlo sampling; 1.3 System dynamics and the mechanics of Monte Carlo simulation; 1.4 Simulation and optimization; 1.5 Pitfalls in Monte Carlo simulation; 1.6 Software tools for Monte Carlo simulation; 1.7 Prerequisites; For further reading; References; Chapter Two: Numerical Integration Methods; 2.1 Classical quadrature formulas; 2.2 Gaussian quadrature.
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| 505 |
8 |
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|a 2.3 Extension to higher dimensions: Product rules2.4 Alternative approaches for high-dimensional integration; 2.5 Relationship with moment matching; 2.6 Numerical integration in R; For further reading; References; Part Two: Input Analysis: Modeling and Estimation; Chapter Three: Stochastic Modeling in Finance and Economics; 3.1 Introductory examples; 3.2 Some common probability distributions; 3.3 Multivariate distributions: Covariance and correlation; 3.4 Modeling dependence with copulas; 3.5 Linear regression models: A probabilistic view; 3.6 Time series models.
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| 505 |
8 |
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|a 3.7 Stochastic differential equations3.8 Dimensionality reduction; 3.9 Risk-neutral derivative pricing; For further reading; References; Chapter Four: Estimation and Fitting; 4.1 Basic inferential statistics in R; 4.2 Parameter estimation; 4.3 Checking the fit of hypothetical distributions; 4.4 Estimation of linear regression models by ordinary least squares; 4.5 Fitting time series models; 4.6 Subjective probability: The Bayesian view; For further reading; References; Part Three: Sampling and Path Generation; Chapter Five: Random Variate Generation.
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8 |
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|a 5.1 The structure of a Monte Carlo simulation5.2 Generating pseudorandom numbers; 5.3 The inverse transform method; 5.4 The acceptance-rejection method; 5.5 Generating normal variates; 5.6 Other ad hoc methods; 5.7 Sampling from copulas; For further reading; References; Chapter Six: Sample Path Generation for Continuous-Time Models; 6.1 Issues in path generation; 6.2 Simulating geometric Brownian motion; 6.3 Sample paths of short-term interest rates; 6.4 Dealing with stochastic volatility; 6.5 Dealing with jumps; For further reading; References.
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| 505 |
8 |
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|a Part Four: Output Analysis and Efficiency ImprovementChapter Seven: Output Analysis; 7.1 Pitfalls in output analysis; 7.2 Setting the number of replications; 7.3 A world beyond averages; 7.4 Good and bad news; For further reading; References; Chapter Eight: Variance Reduction Methods; 8.1 Antithetic sampling; 8.2 Common random numbers; 8.3 Control variates; 8.4 Conditional Monte Carlo; 8.5 Stratified sampling; 8.6 Importance sampling; For further reading; References; Chapter Nine: Low-Discrepancy Sequences; 9.1 Low-discrepancy sequences; 9.2 Halton sequences.
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| 650 |
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0 |
|a Finance
|x Mathematical models.
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| 650 |
|
0 |
|a Economics
|x Mathematical models.
|
| 650 |
|
0 |
|a Monte Carlo method.
|
| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Economics
|x General.
|2 bisacsh
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| 650 |
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7 |
|a BUSINESS & ECONOMICS
|x Reference.
|2 bisacsh
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| 650 |
|
7 |
|a Economics
|x Mathematical models.
|2 fast
|0 (OCoLC)fst00902155
|
| 650 |
|
7 |
|a Finance
|x Mathematical models.
|2 fast
|0 (OCoLC)fst00924398
|
| 650 |
|
7 |
|a Monte Carlo method.
|2 fast
|0 (OCoLC)fst01025819
|
| 650 |
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4 |
|a Monte Carlo method.
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| 655 |
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4 |
|a Electronic books.
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| 655 |
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0 |
|a Electronic books.
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| 776 |
0 |
8 |
|i Print version:
|a Brandimarte, Paolo.
|t Handbook in Monte Carlo simulation.
|d Hoboken, New Jersey : John Wiley & Sons, [2014]
|z 9780470531112
|w (DLC) 2013047832
|
| 830 |
|
0 |
|a Wiley handbooks in financial engineering and econometrics.
|
| 856 |
4 |
0 |
|u https://doi.org/10.1002/9781118593264
|z Full Text via HEAL-Link
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| 994 |
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|a 92
|b DG1
|
