Monte Carlo methods and models in finance and insurance / / Ralf Korn, Elke Korn, Gerald Kroisandt
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| Autore: |
Korn Ralf
|
| Titolo: |
Monte Carlo methods and models in finance and insurance / / Ralf Korn, Elke Korn, Gerald Kroisandt
|
| 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 |
| 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 |
| Opac: | Controlla la disponibilità qui |
Serie:
Chapman & Hall/CRC financial mathematics series.