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Simulation and Monte Carlo

Librairie Eyrolles - Paris 5e
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Simulation and Monte Carlo

Simulation and Monte Carlo

With applications in finance and MCMC

350 pages, parution le 23/02/2007

Résumé

Simulation and Monte Carlo is aimed at students studying for degrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, who wish an up-to-date account of the theory and practice of Simulation. Its distinguishing features are in-depth accounts of the theory of Simulation, including the important topic of variance reduction techniques, together with illustrative applications in Financial Mathematics, Markov chain Monte Carlo, and Discrete Event Simulation.

Each chapter contains a good selection of exercises and solutions with an accompanying appendix comprising a Maple worksheet containing simulation procedures. The worksheets can also be downloaded from the web site supporting the book. This encourages readers to adopt a hands-on approach in the effective design of simulation experiments.

Arising from a course taught at Edinburgh University over several years, the book will also appeal to practitioners working in the finance industry, statistics and operations research.

Sommaire

  • Introduction to simulation and Monte Carlo
  • Uniform random numbers
  • General methods for generating random variates
  • Generation of variates from standard distributions
  • Variance reduction
  • Simulation andnance
  • Discrete event simulation
  • Markov chain Monte Carlo
  • Solutions
  • References
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Caractéristiques techniques du livre "Simulation and Monte Carlo"

  PAPIER
Éditeur(s) Wiley
Auteur(s) J. S. Dagpunar
Parution 23/02/2007
Nb. de pages 350
Format 17 x 24,5
Couverture Broché
Poids 660g
Intérieur Noir et Blanc
EAN13 9780470854952
ISBN13 978-0-470-85495-2
Sélection de Noël

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