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Monte Carlo methods and models in finance and insurance

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Monte Carlo methods and models in finance and insurance/ Ralf Korn, Elke Korn, Gerald Kroisandt.
Author:	Korn, Ralf.
other author:	Korn, Elke,
Published:	Boca Raton, FL :CRC Press/Taylor & Francis, : c2010.,
Description:	1 online resource (xiii, 470 p.) :ill. :
Subject:	Monte Carlo Method. -
Online resource:	https://www.taylorfrancis.com/books/9780429149177
ISBN:	9781420076196 (electronic bk.)

Monte Carlo methods and models in finance and insurance
Korn, Ralf.

Monte Carlo methods and models in finance and insurance[electronic resource] /Ralf Korn, Elke Korn, Gerald Kroisandt. - Boca Raton, FL :CRC Press/Taylor & Francis,c2010. - 1 online resource (xiii, 470 p.) :ill. - Chapman & Hall/CRC financial mathematics series. - Chapman & Hall/CRC financial mathematics series..

Includes bibliographical references (p. 441-457) and index.

1. Introduction and user guide -- 2. Generating random numbers -- 3. The Monte Carlo method : basic principles -- 4. Continuous-time stochastic processes : continuous paths -- 5. Simulating financial models : continuous paths -- 6. Continuous-time stochastic processes : discontinuous paths -- 7. Simulating financial models : discontinuous paths -- 8. Simulating actuarial models.

"Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance 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 authors separately discuss Monte Carlo techniques, stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to apply the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of standard Monte Carlo tools and for a detailed focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for standard simulation and the simulation of stochastic processes with continuous and discontinuous paths. It also covers a wide selection of popular models in finance and insurance, from Black-Scholes to stochastic volatility to interest rate to dynamic mortality." "Through its many numerical and graphical illustrations and simple, insightful examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in various financial situations. The intuitive presentation encourages readers to implement and further develop the simulation methods."--Jacket.

ISBN: 9781420076196 (electronic bk.)Subjects--Topical Terms:

970831
Monte Carlo Method.
Index Terms--Genre/Form:

554714
Electronic books.

LC Class. No.: HF5691 / .K713 2010eb

Dewey Class. No.: 518/.282

National Library of Medicine Call No.: HF 5691

Monte Carlo methods and models in finance and insurance
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020 $a 9781420076196 (electronic bk.)
020 $a 1420076191 (electronic bk.)
020 $z 9781420076189 (hardcover : alk. paper)
020 $z 1420076183 (hardcover : alk. paper)
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050 4 $a HF5691 $b .K713 2010eb
060 0 4 $a HF 5691
082 0 4 $a 518/.282 $2 22
100 1 $a Korn, Ralf. $3 970828
245 1 0 $a Monte Carlo methods and models in finance and insurance $h [electronic resource] / $c Ralf Korn, Elke Korn, Gerald Kroisandt.
260 $a Boca Raton, FL : $b CRC Press/Taylor & Francis, $c c2010.
300 $a 1 online resource (xiii, 470 p.) : $b ill.
490 1 $a Chapman & Hall/CRC financial mathematics series
504 $a Includes bibliographical references (p. 441-457) and index.
505 0 $a 1. Introduction and user guide -- 2. Generating random numbers -- 3. The Monte Carlo method : basic principles -- 4. Continuous-time stochastic processes : continuous paths -- 5. Simulating financial models : continuous paths -- 6. Continuous-time stochastic processes : discontinuous paths -- 7. Simulating financial models : discontinuous paths -- 8. Simulating actuarial models.
520 1 $a "Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance 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 authors separately discuss Monte Carlo techniques, stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to apply the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of standard Monte Carlo tools and for a detailed focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for standard simulation and the simulation of stochastic processes with continuous and discontinuous paths. It also covers a wide selection of popular models in finance and insurance, from Black-Scholes to stochastic volatility to interest rate to dynamic mortality." "Through its many numerical and graphical illustrations and simple, insightful examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in various financial situations. The intuitive presentation encourages readers to implement and further develop the simulation methods."--Jacket.
588 $a Description based on print version record.
650 2 $a Monte Carlo Method. $3 970831
650 2 $a Economics. $3 555568
650 0 $a Business mathematics. $3 557696
650 0 $a Insurance $x Mathematics. $3 677375
650 0 $a Monte Carlo method. $3 672188
655 0 $a Electronic books. $2 local $3 554714
700 1 $a Korn, Elke, $d 1962- $3 970829
700 1 $a Kroisandt, Gerald. $3 970830
830 0 $a Chapman & Hall/CRC financial mathematics series. $3 715750
856 4 0 $u https://www.taylorfrancis.com/books/9780429149177