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Handbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics / Paolo Brandimarte.

By: Material type: TextTextSeries: Wiley handbooks in financial engineering and econometricsPublication details: New Jersey : John Wiley, c2014.Description: xvii, 662 p. ; illustrationsISBN:
  • 9780470531112
Subject(s): DDC classification:
  • 330.01518282 23 B818
Contents:
1. Introduction to Monte Carlo methods-- 2. Numerical integration methods-- 3. Stochastic modeling in finance and economics-- 4. Estimation and fitting-- 5. Random variate generation-- 6. Sample path generation for continuous-time models-- 7. Output analysis-- 8. Variance reduction methods-- 9. Low-discrepancy sequences-- 10. Optimization-- 11. Option pricing-- 12. Sensitivity estimation-- 13. Risk measurement and management-- 14. Markov Chain Monte Carlo and Bayesian Statistics-- References-- Index.
Summary: This book 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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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.01518282 B818 (Browse shelf(Opens below)) Available 136144
Total holds: 0

Includes bibliographical references and index.

1. Introduction to Monte Carlo methods--
2. Numerical integration methods--
3. Stochastic modeling in finance and economics--
4. Estimation and fitting--
5. Random variate generation--
6. Sample path generation for continuous-time models--
7. Output analysis--
8. Variance reduction methods--
9. Low-discrepancy sequences--
10. Optimization--
11. Option pricing--
12. Sensitivity estimation--
13. Risk measurement and management--
14. Markov Chain Monte Carlo and Bayesian Statistics--
References--
Index.

This book 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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