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Monte Carlo methods and models in finance and insurance / / Ralf Korn, Elke Korn, Gerald Kroisandt



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Autore: Korn Ralf Visualizza persona
Titolo: Monte Carlo methods and models in finance and insurance / / Ralf Korn, Elke Korn, Gerald Kroisandt Visualizza cluster
Pubblicazione: Boca Raton : , : Taylor & Francis, , 2010
Descrizione fisica: 1 online resource (485 p.)
Disciplina: 518/.282
Soggetto topico: Business mathematics
Insurance - Mathematics
Monte Carlo method
Classificazione: SK 840
Altri autori: KornElke <1962->  
KroisandtGerald  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references (p. 441-457) and index.
Nota di contenuto: 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; Index
Sommario/riassunto: 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, 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 applicat
Titolo autorizzato: Monte Carlo methods and models in finance and insurance  Visualizza cluster
ISBN: 0-429-14917-4
1-282-90237-7
9786612902376
1-4200-7619-1
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910785251003321
Lo trovi qui: Univ. Federico II
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Serie: Chapman & Hall/CRC financial mathematics series.