Ralf Korn, Elke Korn, Gerald Kroisandt

Monte Carlo Methods and Models in Finance and Insurance

• Gebundenes Buch

Produktbeschreibung

Monte Carlo simulation is a universal tool that can be applied in nearly every area of financial and actuarial modeling if one fully understands simulation. This book introduces financial and actuarial models via mathematical simulation. It gives a rigorous introduction to Monte Carlo simulation, including random number generation, basic methods, convergence, and variance reduction. The authors describe financial and actuarial models and show how simulation techniques can be applied to these models to solve problems in finance, including option pricing, derivatives pricing, risk, and asset liability management.

Produktdetails

• Verlag: Taylor and Francis
• Seitenzahl: 484
• Erscheinungstermin: 1. März 2010
• Englisch
• Abmessung: 242mm x 166mm x 30mm
• Gewicht: 809g
• ISBN-13: 9781420076189
• ISBN-10: 1420076183
• Artikelnr.: 23268008

Autorenporträt

Ralf Korn is a professor of financial mathematics at the University of Kaiserslautern and a member of the scientific advisory board of Fraunhofer ITWM in Kaiserslautern, Germany. Elke Korn is an independent financial mathematics consultant in Kaiserslautern, Germany. Gerald Kroisandt is a financial mathematician at Fraunhofer ITWM, in Kaiserslautern, Germany.

Inhaltsangabe

Introduction and User Guide. Generating Random Numbers. The Monte Carlo
Method: Basic Principles and Improvements. Simulating Continuous-Time
Stochastic Processes with Continuous Paths. Simulating Financial Models and
Pricing of Derivatives: Continuous Paths. Simulating Continuous-Time
Stochastic Processes: Discontinuous Paths. Simulating Financial Models:
Discontinuous Paths. Simulating Actuarial Models. References. Index.