An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics
Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization.
The Handbook in Monte Carlo Simulation features:
The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.
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PAOLO BRANDIMARTE is Full Professor of QuantitativeMethods for Finance and Logistics in the Department of MathematicalSciences at Politecnico di Torino in Italy. He has extensiveteaching experience in engineering and economics faculties,including master’s- and PhD-level courses. Dr. Brandimarte isthe author or coauthor of Introduction to DistributionLogistics, Quantitative Methods: An Introduction for BusinessManagement, and Numerical Methods in Finance and Economics:A MATLAB-Based Introduction, Second Edition, all published byWiley.
AN ACCESSIBLE TREATMENT OF MONTE CARLO METHODS, TECHNIQUES,AND APPLICATIONS IN THE FIELD OF FINANCE AND ECONOMICS
Providing readers with an in-depth and comprehensive guide, theHandbook in Monte Carlo Simulation: Applications in FinancialEngineering, Risk Management, and Economics presents a timelyaccount of the applications of Monte Carlo methods in financialengineering and economics. Written by an international leadingexpert in the field, the handbook illustrates the challengesconfronting present-day financial practitioners and providesvarious applications of Monte Carlo techniques to answer theseissues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; randomvariate and sample path generation; output analysis and variancereduction; and applications ranging from option pricing and riskmanagement to optimization.
The Handbook in Monte Carlo Simulation features:
■ An introductory section for basic material onstochastic modeling and estimation aimed at readers who may need asummary or review of the essentials
■ Carefully crafted examples in order to spotpotential pitfalls and drawbacks of each approach
■ An accessible treatment of advanced topics suchas low-discrepancy sequences, stochastic optimization, dynamicprogramming, risk measures, and Markov chain Monte Carlomethods
■ Numerous pieces of R code used to illustratefundamental ideas in concrete terms and encourageexperimentation
The Handbook in Monte Carlo Simulation: Applications inFinancial Engineering, Risk Management, and Economics is acomplete reference for practitioners in the fields of finance,business, applied statistics, econometrics, and engineering, aswell as a supplement for MBA and graduate-level courses on MonteCarlo methods and simulation.
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