Monte Carlo Methods and Models in Finance ...

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Sprache: Englisch

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Beschreibung

Offering a unique balance between applications and calculations, this book 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

Über den Autor

Ralf Korn is a professor of financial mathematics at the University of Kaiserslautern and a member of the scientific advisory board of Fraunhofer ITWM in Kaiserslautern, Germany.

Elke Korn is an independent financial mathematics consultant in Kaiserslautern, Germany.

Gerald Kroisandt is a financial mathematician at Fraunhofer ITWM, in Kaiserslautern, Germany.

Inhaltsverzeichnis

Introduction and User Guide. Generating Random Numbers. The Monte Carlo Method: Basic Principles and Improvements. Simulating Continuous-Time Stochastic Processes with Continuous Paths. Simulating Financial Models and Pricing of Derivatives: Continuous Paths. Simulating Continuous-Time Stochastic Processes: Discontinuous Paths. Simulating Financial Models: Discontinuous Paths. Simulating Actuarial Models. References. Index.

Details

Erscheinungsjahr:	2023
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Inhalt:	Einband - flex.(Paperback)
ISBN-13:	9781032477695
ISBN-10:	1032477695
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Korn, Ralf Korn, Elke Kroisandt, Gerald
Hersteller:	CRC Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	233 x 157 x 30 mm
Von/Mit:	Ralf Korn (u. a.)
Erscheinungsdatum:	21.01.2023
Gewicht:	0,733 kg