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Monte Carlo methods and models in finance and insurance

Monte Carlo methods and models in finance and insurance

  • ISBN: 9781420076189
  • Editorial: Routledge
  • Lugar de la edición: Boca Raton (FL). Estados Unidos de Norteamérica
  • Colección: Chapman & Hall/CRC financial mathematics series
  • Encuadernación: Cartoné
  • Medidas: 24 cm
  • Nº Pág.: 484
  • Idiomas: Inglés

Papel: Cartoné
120,49 €
Stock en librería. Envío en 24/48 horas

Resumen

Offering a unique balance between applications and calculations, this book 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 book enables readers to find the right algorithm for a desired application and illustrates complicated methods and algorithms with simple applications to provide an easy understanding of key properties.

Resumen

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