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082 0 0 _a330.01/518282
_223
100 1 _aBrandimarte, Paolo.
245 1 0 _aHandbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics /
_cPaolo Brandimarte.
_h[electronic resource]
264 1 _aHoboken, New Jersey :
_bJohn Wiley & Sons,
_c[2014]
300 _a1 online resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aWiley handbooks in financial engineering and econometrics
504 _aIncludes bibliographical references and index.
505 0 _aHalf Title page; Title page; Copyright page; Preface; Part One: Overview and Motivation; Chapter One: Introduction to Monte Carlo Methods; 1.1 Historical origin of Monte Carlo simulation; 1.2 Monte Carlo simulation vs. Monte Carlo sampling; 1.3 System dynamics and the mechanics of Monte Carlo simulation; 1.4 Simulation and optimization; 1.5 Pitfalls in Monte Carlo simulation; 1.6 Software tools for Monte Carlo simulation; 1.7 Prerequisites; For further reading; References; Chapter Two: Numerical Integration Methods; 2.1 Classical quadrature formulas; 2.2 Gaussian quadrature.
505 8 _a2.3 Extension to higher dimensions: Product rules2.4 Alternative approaches for high-dimensional integration; 2.5 Relationship with moment matching; 2.6 Numerical integration in R; For further reading; References; Part Two: Input Analysis: Modeling and Estimation; Chapter Three: Stochastic Modeling in Finance and Economics; 3.1 Introductory examples; 3.2 Some common probability distributions; 3.3 Multivariate distributions: Covariance and correlation; 3.4 Modeling dependence with copulas; 3.5 Linear regression models: A probabilistic view; 3.6 Time series models.
505 8 _a3.7 Stochastic differential equations3.8 Dimensionality reduction; 3.9 Risk-neutral derivative pricing; For further reading; References; Chapter Four: Estimation and Fitting; 4.1 Basic inferential statistics in R; 4.2 Parameter estimation; 4.3 Checking the fit of hypothetical distributions; 4.4 Estimation of linear regression models by ordinary least squares; 4.5 Fitting time series models; 4.6 Subjective probability: The Bayesian view; For further reading; References; Part Three: Sampling and Path Generation; Chapter Five: Random Variate Generation.
505 8 _a5.1 The structure of a Monte Carlo simulation5.2 Generating pseudorandom numbers; 5.3 The inverse transform method; 5.4 The acceptance-rejection method; 5.5 Generating normal variates; 5.6 Other ad hoc methods; 5.7 Sampling from copulas; For further reading; References; Chapter Six: Sample Path Generation for Continuous-Time Models; 6.1 Issues in path generation; 6.2 Simulating geometric Brownian motion; 6.3 Sample paths of short-term interest rates; 6.4 Dealing with stochastic volatility; 6.5 Dealing with jumps; For further reading; References.
505 8 _aPart Four: Output Analysis and Efficiency ImprovementChapter Seven: Output Analysis; 7.1 Pitfalls in output analysis; 7.2 Setting the number of replications; 7.3 A world beyond averages; 7.4 Good and bad news; For further reading; References; Chapter Eight: Variance Reduction Methods; 8.1 Antithetic sampling; 8.2 Common random numbers; 8.3 Control variates; 8.4 Conditional Monte Carlo; 8.5 Stratified sampling; 8.6 Importance sampling; For further reading; References; Chapter Nine: Low-Discrepancy Sequences; 9.1 Low-discrepancy sequences; 9.2 Halton sequences.
520 _aAn 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.
588 0 _aPrint version record and CIP data provided by publisher.
650 0 _aFinance
_xMathematical models.
650 0 _aEconomics
_xMathematical models.
650 0 _aMonte Carlo method.
650 7 _aBUSINESS & ECONOMICS
_xEconomics
_xGeneral.
_2bisacsh
650 7 _aBUSINESS & ECONOMICS
_xReference.
_2bisacsh
650 7 _aEconomics
_xMathematical models.
_2fast
_0(OCoLC)fst00902155
650 7 _aFinance
_xMathematical models.
_2fast
_0(OCoLC)fst00924398
650 7 _aMonte Carlo method.
_2fast
_0(OCoLC)fst01025819
650 4 _aMonte Carlo method.
655 4 _aElectronic books.
655 0 _aElectronic books.
776 0 8 _iPrint version:
_aBrandimarte, Paolo.
_tHandbook in Monte Carlo simulation.
_dHoboken, New Jersey : John Wiley & Sons, [2014]
_z9780470531112
_w(DLC) 2013047832
830 0 _aWiley handbooks in financial engineering and econometrics.
856 4 0 _uhttp://onlinelibrary.wiley.com/book/10.1002/9781118593264
_zWiley Online Library
942 _2ddc
_cBK
999 _c207153
_d207153