03212nam 2200697 a 450 991081772330332120200520144314.00-429-14917-41-282-90237-797866129023761-4200-7619-110.1201/9781420076196(CKB)2670000000047916(EBL)589908(OCoLC)666038387(SSID)ssj0000423428(PQKBManifestationID)11291596(PQKBTitleCode)TC0000423428(PQKBWorkID)10440284(PQKB)11014908(MiAaPQ)EBC589908(Au-PeEL)EBL589908(CaPaEBR)ebr10419883(CaONFJC)MIL290237(PPN)236239333(EXLCZ)99267000000004791620091119d2010 uy 0engur|n|---|||||txtccrMonte Carlo methods and models in finance and insurance /Ralf Korn, Elke Korn, Gerald Kroisandt1st ed.Boca Raton, FL CRC Press/Taylor & Francisc20101 online resource (485 p.)Chapman & Hall/CRC financial mathematics seriesDescription based upon print version of record.1-4200-7618-3 Includes bibliographical references (p. 441-457) and index.Cover; Title; Copyright; Contents; List of Algorithms; Chapter 1: Introduction and User Guide; Chapter 2: Generating Random Numbers; Chapter 3: The Monte Carlo Method: Basic Principles; Chapter 4: Continuous-Time Stochastic Processes: Continuous Paths; Chapter 5: Simulating Financial Models: Continuous Paths; Chapter 6: Continuous-Time Stochastic Processes: Discontinuous Paths; Chapter 7: Simulating Financial Models: Discontinuous Paths; Chapter 8: Simulating Actuarial Models; References; IndexOffering 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, as well as recent financial and actuarial models, such as the Cheyette and dynamic mortality models. The book enables readers to find the right algorithm for a desired application and illustrates complicated methods and algorithms with simple applicatChapman & Hall/CRC financial mathematics series.Business mathematicsInsuranceMathematicsMonte Carlo methodBusiness mathematics.InsuranceMathematics.Monte Carlo method.518/.282SK 840rvkKorn Ralf117083Korn Elke1962-147685Kroisandt Gerald1647042MiAaPQMiAaPQMiAaPQBOOK9910817723303321Monte Carlo methods and models in finance and insurance3994406UNINA