Handbook in Monte Carlo simulation: applications in financial engineering, risk management, and economics

✍ Scribed by Brandimarte, Paolo

Publisher: Wiley
Year: 2014
Tongue: English
Leaves: 685
Series: Wiley handbooks in financial engineering and econometrics
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

Part I Overview and Motivation -- 1 Introduction to Monte Carlo Methods -- 2 Numerical Integration Methods -- Part II Input Analysis: Modeling and Estimation -- 3 Stochastic Modeling in Finance and Economics -- 4 Estimation and Fitting -- Part III Sampling and Path Generation -- 5 Random Variate Generation -- 6 Sample Path Generation for Continuous-Time Models -- Part IV Output Analysis and Efficiency Improvement -- 7 Output Analysis -- 8 Variance Reduction Methods -- 9 Low-Discrepancy Sequences -- Part V Miscellaneous Applications.;10 Optimization -- 11 Option Pricing -- 12 Sensitivity Estimation -- 13 Risk Measurement and Management -- 14 Markov Chain Monte Carlo and Bayesian Statistics.

✦ Table of Contents

Part I Overview and Motivation --
1 Introduction to Monte Carlo Methods --
2 Numerical Integration Methods --
Part II Input Analysis: Modeling and Estimation --
3 Stochastic Modeling in Finance and Economics --
4 Estimation and Fitting --
Part III Sampling and Path Generation --
5 Random Variate Generation --
6 Sample Path Generation for Continuous-Time Models --
Part IV Output Analysis and Efficiency Improvement --
7 Output Analysis --
8 Variance Reduction Methods --
9 Low-Discrepancy Sequences --
Part V Miscellaneous Applications. 10 Optimization --
11 Option Pricing --
12 Sensitivity Estimation --
13 Risk Measurement and Management --
14 Markov Chain Monte Carlo and Bayesian Statistics.

✦ Subjects

Monte-Carlo-Simulation;Economics--Mathematical models;Finance--Mathematical models;Monte Carlo method;Finance -- Mathematical models;Economics -- Mathematical models

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