Simulation and Monte Carlo

With applications in finance and MCMC

J. S. Dagpunar

350 pages, parution le 23/02/2007

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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

	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