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Discrete-time Asset Pricing Models in Applied Stochastic Finance / / P. C. G. Vassiliou
| Discrete-time Asset Pricing Models in Applied Stochastic Finance / / P. C. G. Vassiliou |
| Autore | Vassiliou P. C. G. |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Hoboken : , : John Wiley, , 2013 |
| Descrizione fisica | 1 online resource (418 pages) |
| Disciplina |
332.0151
332.63/22201 332.6322201 |
| Collana | ISTE |
| Soggetto topico |
Securities - Mathematical models - Prices
Capital assets pricing model - Mathematical models Stochastic analysis Finance |
| Soggetto genere / forma | Electronic books. |
| ISBN |
9781118557860
1-118-55786-7 1-118-61866-1 1-299-31536-4 1-118-61877-7 |
| Classificazione |
MAT 600f
MAT 606f WIR 160f |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | CHAPTER 1. Probability and Random Variables -- CHAPTER 2. An Introduction to Financial Instruments and Derivatives -- CHAPTER 3. Conditional Expectation and Markov Chains -- CHAPTER 4. The No-Arbitrage Binomial Pricing Model -- CHAPTER 5. Martingales -- CHAPTER 6. Equivalent Martingale Measures, No-Arbitrage and Complete Markets -- CHAPTER 7. American Derivative Securities -- CHAPTER 8. Fixed-Income Markets and Interest Rates -- CHAPTER 9. Credit Risk -- CHAPTER 10. The Heath-Jarrow-Morton Model. |
| Record Nr. | UNINA-9910139247603321 |
Vassiliou P. C. G.
|
||
| Hoboken : , : John Wiley, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Discrete-time Asset Pricing Models in Applied Stochastic Finance / / P. C. G. Vassiliou
| Discrete-time Asset Pricing Models in Applied Stochastic Finance / / P. C. G. Vassiliou |
| Autore | Vassiliou P. C. G. |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Hoboken : , : John Wiley, , 2013 |
| Descrizione fisica | 1 online resource (418 pages) |
| Disciplina |
332.0151
332.63/22201 332.6322201 |
| Collana | ISTE |
| Soggetto topico |
Securities - Mathematical models - Prices
Capital assets pricing model - Mathematical models Stochastic analysis Finance |
| ISBN |
9781118557860
1-118-55786-7 1-118-61866-1 1-299-31536-4 1-118-61877-7 |
| Classificazione |
MAT 600f
MAT 606f WIR 160f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | CHAPTER 1. Probability and Random Variables -- CHAPTER 2. An Introduction to Financial Instruments and Derivatives -- CHAPTER 3. Conditional Expectation and Markov Chains -- CHAPTER 4. The No-Arbitrage Binomial Pricing Model -- CHAPTER 5. Martingales -- CHAPTER 6. Equivalent Martingale Measures, No-Arbitrage and Complete Markets -- CHAPTER 7. American Derivative Securities -- CHAPTER 8. Fixed-Income Markets and Interest Rates -- CHAPTER 9. Credit Risk -- CHAPTER 10. The Heath-Jarrow-Morton Model. |
| Record Nr. | UNINA-9910830553803321 |
|
Vassiliou P. C. G.
|
||
| Hoboken : , : John Wiley, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Discrete-time Asset Pricing Models in Applied Stochastic Finance / / P. C. G. Vassiliou
| Discrete-time Asset Pricing Models in Applied Stochastic Finance / / P. C. G. Vassiliou |
| Autore | Vassiliou P. C. G. |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Hoboken : , : John Wiley, , 2013 |
| Descrizione fisica | 1 online resource (418 pages) |
| Disciplina |
332.0151
332.63/22201 332.6322201 |
| Collana | ISTE |
| Soggetto topico |
Securities - Mathematical models - Prices
Capital assets pricing model - Mathematical models Stochastic analysis Finance |
| ISBN |
9781118557860
1-118-55786-7 1-118-61866-1 1-299-31536-4 1-118-61877-7 |
| Classificazione |
MAT 600f
MAT 606f WIR 160f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | CHAPTER 1. Probability and Random Variables -- CHAPTER 2. An Introduction to Financial Instruments and Derivatives -- CHAPTER 3. Conditional Expectation and Markov Chains -- CHAPTER 4. The No-Arbitrage Binomial Pricing Model -- CHAPTER 5. Martingales -- CHAPTER 6. Equivalent Martingale Measures, No-Arbitrage and Complete Markets -- CHAPTER 7. American Derivative Securities -- CHAPTER 8. Fixed-Income Markets and Interest Rates -- CHAPTER 9. Credit Risk -- CHAPTER 10. The Heath-Jarrow-Morton Model. |
| Record Nr. | UNINA-9910841080003321 |
|
Vassiliou P. C. G.
|
||
| Hoboken : , : John Wiley, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The handbook of traditional and alternative investment vehicles [[electronic resource] ] : investment characteristics and strategies / / Mark J.P. Anson, Frank J. Fabozzi, Frank J. Jones
| The handbook of traditional and alternative investment vehicles [[electronic resource] ] : investment characteristics and strategies / / Mark J.P. Anson, Frank J. Fabozzi, Frank J. Jones |
| Autore | Anson Mark J. P |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, Inc., 2011 |
| Descrizione fisica | 1 online resource (531 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
FabozziFrank J
JonesFrank Joseph |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Investments
Investment analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-93977-7
9786612939778 1-118-25824-X 1-118-00869-3 1-118-00867-7 |
| Classificazione |
WIR 160f
WIR 670f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Handbook of Traditional and Alternative Investment Vehicles: Investment Characteristics and Strategies; Contents; Preface; About the Authors; Chapter 1: Introduction; RISKS ASSOCIATED WITH INVESTING; ASSET CLASSES; SUPER ASSET CLASSES; STRATEGIC VS. TACTICAL ALLOCATIONS; EFFICIENT VS. INEFFICIENT ASSET CLASSES; BETA AND ALPHA DRIVERS; Chapter 2: Investing in Common Stock; EARNINGS; DIVIDENDS; STOCK REPURCHASES; THE U.S. EQUITY MARKETS; TRADING MECHANICS; TRADING COSTS; Chapter 3: More on Common Stock; PRICING EFFICIENCY OF THE STOCK MARKET; STOCK MARKET INDICATORS; RISK FACTORS
TRACKING ERRORCOMMON STOCK INVESTMENT STRATEGIES; Chapter 4: Bond Basics; FEATURES OF BONDS; YIELD MEASURES AND THEIR LIMITATIONS; INTEREST RATE RISK; CALL AND PREPAYMENT RISK; CREDIT RISK; Chapter 5: U.S. Treasury and Federal Agency Securities; TREASURY SECURITIES; FEDERAL AGENCY SECURITIES; Chapter 6: Municipal Securities; TAX-EXEMPT AND TAXABLE MUNICIPAL SECURITIES; TYPES OF MUNICIPAL SECURITIES; TAX-EXEMPT MUNICIPAL BOND YIELDS; RISKS ASSOCIATED WITH INVESTING IN MUNICIPAL BONDS; BUILD AMERICA BONDS; Chapter 7: Corporate Fixed Income Securities; CORPORATE BONDS; MEDIUM-TERM NOTES COMMERCIAL PAPERPREFERRED STOCK; CONVERTIBLE SECURITY; Chapter 8: Agency Mortgage Passthrough Securities; MORTGAGES; MORTGAGE PASSTHROUGH SECURITIES; TYPES OF AGENCY MORTGAGE PASSTHROUGH SECURITIES; PREPAYMENT CONVENTIONS AND CASH FLOWS; FACTORS AFFECTING PREPAYMENT BEHAVIOR; PREPAYMENT MODELS; YIELD; A CLOSER LOOK AT PREPAYMENT RISK; TRADING AND SETTLEMENT PROCEDURES FOR AGENCY PASSTHROUGHS; STRIPPED MORTGAGE-BACKED SECURITIES; Chapter 9: Agency Collateralized Mortgage Obligations; THE BASIC PRINCIPLE OF CMOs; AGENCY CMOs; CMO STRUCTURES; YIELDS; Chapter 10: Structured Credit Products PRIVATE LABEL RESIDENTIAL MBSCOMMERCIAL MORTGAGE-BACKED SECURITIES; NONMORTGAGE ASSET-BACKED SECURITIES; AUTO LOAN-BACKED SECURITIES; COLLATERALIZED DEBT OBLIGATIONS; Chapter 11: Investment-Oriented Life Insurance; CASH VALUE LIFE INSURANCE; STOCK AND MUTUAL INSURANCE COMPANIES; GENERAL ACCOUNT VS. SEPARATE ACCOUNT PRODUCTS; OVERVIEW OF CASH VALUE WHOLE LIFE INSURANCE; TAXABILITY OF LIFE INSURANCE; PRODUCTS; Chapter 12: Investment Companies; TYPES OF INVESTMENT COMPANIES; FUND SALES CHARGES AND ANNUAL OPERATING EXPENSES; ADVANTAGES OF INVESTING IN MUTUAL FUNDS TYPES OF FUNDS BY INVESTMENT OBJECTIVETHE CONCEPT OF A FAMILY OF FUNDS; TAXATION OF MUTUAL FUNDS; STRUCTURE OF A FUND; Chapter 13: Exchange-Traded Funds; REVIEW OF MUTUAL FUNDS AND CLOSED-END FUNDS; BASICS OF EXCHANGE-TRADED FUNDS; ETF MECHANICS: THE ETF CREATION/REDEMPTION PROCESS; ETF SPONSORS; MUTUAL FUNDS VS. ETFS: RELATIVE ADVANTAGES; USES OF ETFs; THE NEW GENERATION OF MUTUAL FUNDS; Chapter 14: Investing in Real Estate; THE BENEFITS OF REAL ESTATE INVESTING; REAL ESTATE PERFORMANCE; REAL ESTATE RISK PROFILE; REAL ESTATE AS PART OF A DIVERSIFIED PORTFOLIO CORE, VALUE-ADDED, AND OPPORTUNISTIC REAL ESTATE |
| Record Nr. | UNINA-9910139186503321 |
|
Anson Mark J. P
|
||
| Hoboken, N.J., : J. Wiley & Sons, Inc., 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The handbook of traditional and alternative investment vehicles [[electronic resource] ] : investment characteristics and strategies / / Mark J.P. Anson, Frank J. Fabozzi, Frank J. Jones
| The handbook of traditional and alternative investment vehicles [[electronic resource] ] : investment characteristics and strategies / / Mark J.P. Anson, Frank J. Fabozzi, Frank J. Jones |
| Autore | Anson Mark J. P |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, Inc., 2011 |
| Descrizione fisica | 1 online resource (531 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
FabozziFrank J
JonesFrank Joseph |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Investments
Investment analysis |
| ISBN |
1-282-93977-7
9786612939778 1-118-25824-X 1-118-00869-3 1-118-00867-7 |
| Classificazione |
WIR 160f
WIR 670f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Handbook of Traditional and Alternative Investment Vehicles: Investment Characteristics and Strategies; Contents; Preface; About the Authors; Chapter 1: Introduction; RISKS ASSOCIATED WITH INVESTING; ASSET CLASSES; SUPER ASSET CLASSES; STRATEGIC VS. TACTICAL ALLOCATIONS; EFFICIENT VS. INEFFICIENT ASSET CLASSES; BETA AND ALPHA DRIVERS; Chapter 2: Investing in Common Stock; EARNINGS; DIVIDENDS; STOCK REPURCHASES; THE U.S. EQUITY MARKETS; TRADING MECHANICS; TRADING COSTS; Chapter 3: More on Common Stock; PRICING EFFICIENCY OF THE STOCK MARKET; STOCK MARKET INDICATORS; RISK FACTORS
TRACKING ERRORCOMMON STOCK INVESTMENT STRATEGIES; Chapter 4: Bond Basics; FEATURES OF BONDS; YIELD MEASURES AND THEIR LIMITATIONS; INTEREST RATE RISK; CALL AND PREPAYMENT RISK; CREDIT RISK; Chapter 5: U.S. Treasury and Federal Agency Securities; TREASURY SECURITIES; FEDERAL AGENCY SECURITIES; Chapter 6: Municipal Securities; TAX-EXEMPT AND TAXABLE MUNICIPAL SECURITIES; TYPES OF MUNICIPAL SECURITIES; TAX-EXEMPT MUNICIPAL BOND YIELDS; RISKS ASSOCIATED WITH INVESTING IN MUNICIPAL BONDS; BUILD AMERICA BONDS; Chapter 7: Corporate Fixed Income Securities; CORPORATE BONDS; MEDIUM-TERM NOTES COMMERCIAL PAPERPREFERRED STOCK; CONVERTIBLE SECURITY; Chapter 8: Agency Mortgage Passthrough Securities; MORTGAGES; MORTGAGE PASSTHROUGH SECURITIES; TYPES OF AGENCY MORTGAGE PASSTHROUGH SECURITIES; PREPAYMENT CONVENTIONS AND CASH FLOWS; FACTORS AFFECTING PREPAYMENT BEHAVIOR; PREPAYMENT MODELS; YIELD; A CLOSER LOOK AT PREPAYMENT RISK; TRADING AND SETTLEMENT PROCEDURES FOR AGENCY PASSTHROUGHS; STRIPPED MORTGAGE-BACKED SECURITIES; Chapter 9: Agency Collateralized Mortgage Obligations; THE BASIC PRINCIPLE OF CMOs; AGENCY CMOs; CMO STRUCTURES; YIELDS; Chapter 10: Structured Credit Products PRIVATE LABEL RESIDENTIAL MBSCOMMERCIAL MORTGAGE-BACKED SECURITIES; NONMORTGAGE ASSET-BACKED SECURITIES; AUTO LOAN-BACKED SECURITIES; COLLATERALIZED DEBT OBLIGATIONS; Chapter 11: Investment-Oriented Life Insurance; CASH VALUE LIFE INSURANCE; STOCK AND MUTUAL INSURANCE COMPANIES; GENERAL ACCOUNT VS. SEPARATE ACCOUNT PRODUCTS; OVERVIEW OF CASH VALUE WHOLE LIFE INSURANCE; TAXABILITY OF LIFE INSURANCE; PRODUCTS; Chapter 12: Investment Companies; TYPES OF INVESTMENT COMPANIES; FUND SALES CHARGES AND ANNUAL OPERATING EXPENSES; ADVANTAGES OF INVESTING IN MUTUAL FUNDS TYPES OF FUNDS BY INVESTMENT OBJECTIVETHE CONCEPT OF A FAMILY OF FUNDS; TAXATION OF MUTUAL FUNDS; STRUCTURE OF A FUND; Chapter 13: Exchange-Traded Funds; REVIEW OF MUTUAL FUNDS AND CLOSED-END FUNDS; BASICS OF EXCHANGE-TRADED FUNDS; ETF MECHANICS: THE ETF CREATION/REDEMPTION PROCESS; ETF SPONSORS; MUTUAL FUNDS VS. ETFS: RELATIVE ADVANTAGES; USES OF ETFs; THE NEW GENERATION OF MUTUAL FUNDS; Chapter 14: Investing in Real Estate; THE BENEFITS OF REAL ESTATE INVESTING; REAL ESTATE PERFORMANCE; REAL ESTATE RISK PROFILE; REAL ESTATE AS PART OF A DIVERSIFIED PORTFOLIO CORE, VALUE-ADDED, AND OPPORTUNISTIC REAL ESTATE |
| Record Nr. | UNINA-9910677210503321 |
|
Anson Mark J. P
|
||
| Hoboken, N.J., : J. Wiley & Sons, Inc., 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré
| Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré |
| Autore | Huynh Huu Tue |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (356 p.) |
| Disciplina |
332.01/51923
332.0151923 |
| Altri autori (Persone) |
LaiVan Son
SoumaréIssouf |
| Collana | Wiley finance |
| Soggetto topico |
Finance - Mathematical models
Stochastic models |
| ISBN |
1-283-37237-1
9786613372376 1-118-46737-X 0-470-72213-4 |
| Classificazione |
DAT 306f
MAT 605f QP 890 ST 601 M35 WIR 160f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Stochastic Simulation and Applications in Finance with MATLAB® Programs; Contents; Preface; 1 Introduction to Probability; 1.1 Intuitive Explanation; 1.1.1 Frequencies; 1.1.2 Number of Favorable Cases Over The Total Number of Cases; 1.2 Axiomatic Definition; 1.2.1 Random Experiment; 1.2.2 Event; 1.2.3 Algebra of Events; 1.2.4 Probability Axioms; 1.2.5 Conditional Probabilities; 1.2.6 Independent Events; 2 Introduction to Random Variables; 2.1 Random Variables; 2.1.1 Cumulative Distribution Function; 2.1.2 Probability Density Function
2.1.3 Mean, Variance and Higher Moments of a Random Variable2.1.4 Characteristic Function of a Random Variable; 2.2 Random vectors; 2.2.1 Cumulative Distribution Function of a Random Vector; 2.2.2 Probability Density Function of a Random Vector; 2.2.3 Marginal Distribution of a Random Vector; 2.2.4 Conditional Distribution of a Random Vector; 2.2.5 Mean, Variance and Higher Moments of a Random Vector; 2.2.6 Characteristic Function of a Random Vector; 2.3 Transformation of Random Variables; 2.4 Transformation of Random Vectors 2.5 Approximation of the Standard Normal Cumulative Distribution Function3 Random Sequences; 3.1 Sum of Independent Random Variables; 3.2 Law of Large Numbers; 3.3 Central Limit Theorem; 3.4 Convergence of Sequences of Random Variables; 3.4.1 Sure Convergence; 3.4.2 Almost Sure Convergence; 3.4.3 Convergence in Probability; 3.4.4 Convergence in Quadratic Mean; 4 Introduction to Computer Simulation of Random Variables; 4.1 Uniform Random Variable Generator; 4.2 Generating Discrete Random Variables; 4.2.1 Finite Discrete Random Variables 4.2.2 Infinite Discrete Random Variables: Poisson Distribution4.3 Simulation of Continuous Random Variables; 4.3.1 Cauchy Distribution; 4.3.2 Exponential Law; 4.3.3 Rayleigh Random Variable; 4.3.4 Gaussian Distribution; 4.4 Simulation of Random Vectors; 4.4.1 Case of a Two-Dimensional Random Vector; 4.4.2 Cholesky Decomposition of the Variance-Covariance Matrix; 4.4.3 Eigenvalue Decomposition of the Variance-Covariance Matrix; 4.4.4 Simulation of a Gaussian Random Vector with MATLAB; 4.5 Acceptance-Rejection Method; 4.6 Markov Chain Monte Carlo Method (MCMC) 4.6.1 Definition of a Markov Process4.6.2 Description of the MCMC Technique; 5 Foundations of Monte Carlo Simulations; 5.1 Basic Idea; 5.2 Introduction to the Concept of Precision; 5.3 Quality of Monte Carlo Simulations Results; 5.4 Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques; 5.4.1 Quadratic Resampling; 5.4.2 Reduction of the Number of Simulations Using Antithetic Variables; 5.4.3 Reduction of the Number of Simulations Using Control Variates; 5.4.4 Importance Sampling; 5.5 Application Cases of Random Variables Simulations 5.5.1 Application Case: Generation of Random Variables as a Function of the Number of Simulations |
| Record Nr. | UNINA-9910139741303321 |
|
Huynh Huu Tue
|
||
| Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré
| Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré |
| Autore | Huynh Huu Tue |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (356 p.) |
| Disciplina |
332.01/51923
332.0151923 |
| Altri autori (Persone) |
LaiVan Son
SoumaréIssouf |
| Collana | Wiley finance |
| Soggetto topico |
Finance - Mathematical models
Stochastic models |
| ISBN |
1-283-37237-1
9786613372376 1-118-46737-X 0-470-72213-4 |
| Classificazione |
DAT 306f
MAT 605f QP 890 ST 601 M35 WIR 160f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Stochastic Simulation and Applications in Finance with MATLAB® Programs; Contents; Preface; 1 Introduction to Probability; 1.1 Intuitive Explanation; 1.1.1 Frequencies; 1.1.2 Number of Favorable Cases Over The Total Number of Cases; 1.2 Axiomatic Definition; 1.2.1 Random Experiment; 1.2.2 Event; 1.2.3 Algebra of Events; 1.2.4 Probability Axioms; 1.2.5 Conditional Probabilities; 1.2.6 Independent Events; 2 Introduction to Random Variables; 2.1 Random Variables; 2.1.1 Cumulative Distribution Function; 2.1.2 Probability Density Function
2.1.3 Mean, Variance and Higher Moments of a Random Variable2.1.4 Characteristic Function of a Random Variable; 2.2 Random vectors; 2.2.1 Cumulative Distribution Function of a Random Vector; 2.2.2 Probability Density Function of a Random Vector; 2.2.3 Marginal Distribution of a Random Vector; 2.2.4 Conditional Distribution of a Random Vector; 2.2.5 Mean, Variance and Higher Moments of a Random Vector; 2.2.6 Characteristic Function of a Random Vector; 2.3 Transformation of Random Variables; 2.4 Transformation of Random Vectors 2.5 Approximation of the Standard Normal Cumulative Distribution Function3 Random Sequences; 3.1 Sum of Independent Random Variables; 3.2 Law of Large Numbers; 3.3 Central Limit Theorem; 3.4 Convergence of Sequences of Random Variables; 3.4.1 Sure Convergence; 3.4.2 Almost Sure Convergence; 3.4.3 Convergence in Probability; 3.4.4 Convergence in Quadratic Mean; 4 Introduction to Computer Simulation of Random Variables; 4.1 Uniform Random Variable Generator; 4.2 Generating Discrete Random Variables; 4.2.1 Finite Discrete Random Variables 4.2.2 Infinite Discrete Random Variables: Poisson Distribution4.3 Simulation of Continuous Random Variables; 4.3.1 Cauchy Distribution; 4.3.2 Exponential Law; 4.3.3 Rayleigh Random Variable; 4.3.4 Gaussian Distribution; 4.4 Simulation of Random Vectors; 4.4.1 Case of a Two-Dimensional Random Vector; 4.4.2 Cholesky Decomposition of the Variance-Covariance Matrix; 4.4.3 Eigenvalue Decomposition of the Variance-Covariance Matrix; 4.4.4 Simulation of a Gaussian Random Vector with MATLAB; 4.5 Acceptance-Rejection Method; 4.6 Markov Chain Monte Carlo Method (MCMC) 4.6.1 Definition of a Markov Process4.6.2 Description of the MCMC Technique; 5 Foundations of Monte Carlo Simulations; 5.1 Basic Idea; 5.2 Introduction to the Concept of Precision; 5.3 Quality of Monte Carlo Simulations Results; 5.4 Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques; 5.4.1 Quadratic Resampling; 5.4.2 Reduction of the Number of Simulations Using Antithetic Variables; 5.4.3 Reduction of the Number of Simulations Using Control Variates; 5.4.4 Importance Sampling; 5.5 Application Cases of Random Variables Simulations 5.5.1 Application Case: Generation of Random Variables as a Function of the Number of Simulations |
| Record Nr. | UNINA-9910814678603321 |
|
Huynh Huu Tue
|
||
| Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||