Monte carlo methods and models in finance and insurance
Auteur :
Korn, Ralf / Korn, Elke / Kroisandt, Gerald
Éditeur :
Taylor & Francis Inc
ISBN :
9781420076189
Date de publication :
26 févr. 2010
Dimensions :
23,4 x 15,6 cm
Poids :
800 g
Langue :
Anglais
Pays d'origine :
USA
Incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. This book presents the methods and algorithms, including the multilevel Monte Carlo method, the statistical Romberg method, and the Heath-Platen estimator, as well as financial and actuarial models.