Handbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics / Paolo Brandimarte.
Material type:
TextSeries: Wiley handbooks in financial engineering and econometricsPublication details: New Jersey : John Wiley, c2014.Description: xvii, 662 p. ; illustrationsISBN: - 9780470531112
- 330.01518282 23 B818
| 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 |
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| 330.01515642 C255 Foundations of dynamic economic analysis | 330.01515642 W376 Optimal control theory with applications in economics | 330.015157248 F633 General equilibrium analysis : | 330.01518282 B818 Handbook in Monte Carlo simulation : | 330.0151923 The Structural Econometric Time Series Analysis Approach | 330.0151929 The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis | 330.015193 Shapley value:essays in honor of Lloyd S Shapley |
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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