Conditional Monte Carlo for Sums, with Applications to Insurance and Finance PDF Download

Author: Søren Asmussen
Publisher:
ISBN:
Category :
Languages : en
Pages :

View

Book Description

Author: Ralf Korn
Publisher: CRC Press
ISBN: 1420076191
Category : Business & Economics
Languages : en
Pages : 485

View

Book Description
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance 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 Rom

Author: Thomas N. Herzog
Publisher: ACTEX Publications
ISBN: 1566984335
Category : Business & Economics
Languages : en
Pages : 276

View

Book Description

Author: Alexander Keller
Publisher: Springer Nature
ISBN: 3030983196
Category : Mathematics
Languages : en
Pages : 315

View

Book Description
This volume presents the revised papers of the 14th International Conference in Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, MCQMC 2020, which took place online during August 10-14, 2020. This book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in statistics, machine learning, finance, and computer graphics, offering information on the latest developments in Monte Carlo and quasi-Monte Carlo methods and their randomized versions.

Author: Bruno Tuffin
Publisher: Springer Nature
ISBN: 3030434656
Category : Computers
Languages : en
Pages : 533

View

Book Description
​This book presents the refereed proceedings of the 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Rennes, France, and organized by Inria, in July 2018. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.

Author: Thomas N. Herzog
Publisher:
ISBN: 9781566984430
Category : Business mathematics
Languages : en
Pages : 67

View

Book Description

Author: Michael C. Fu
Publisher: Springer Science & Business Media
ISBN: 1461562937
Category : Computers
Languages : en
Pages : 411

View

Book Description
Conditional Monte Carlo: Gradient Estimation and Optimization Applications deals with various gradient estimation techniques of perturbation analysis based on the use of conditional expectation. The primary setting is discrete-event stochastic simulation. This book presents applications to queueing and inventory, and to other diverse areas such as financial derivatives, pricing and statistical quality control. To researchers already in the area, this book offers a unified perspective and adequately summarizes the state of the art. To researchers new to the area, this book offers a more systematic and accessible means of understanding the techniques without having to scour through the immense literature and learn a new set of notation with each paper. To practitioners, this book provides a number of diverse application areas that makes the intuition accessible without having to fully commit to understanding all the theoretical niceties. In sum, the objectives of this monograph are two-fold: to bring together many of the interesting developments in perturbation analysis based on conditioning under a more unified framework, and to illustrate the diversity of applications to which these techniques can be applied. Conditional Monte Carlo: Gradient Estimation and Optimization Applications is suitable as a secondary text for graduate level courses on stochastic simulations, and as a reference for researchers and practitioners in industry.

Author: Zdravko Botev
Publisher: Springer Nature
ISBN: 3031101936
Category : Mathematics
Languages : en
Pages : 426

View

Book Description
This book celebrates the career of Pierre L’Ecuyer on the occasion of his 70th birthday. Pierre has made significant contributions to the fields of simulation, modeling, and operations research over the last 40 years. This book contains 20 chapters written by collaborators and experts in the field who, by sharing their latest results, want to recognize the lasting impact of Pierre’s work in their research area. The breadth of the topics covered reflects the remarkable versatility of Pierre's contributions, from deep theoretical results to practical and industry-ready applications. The Festschrift features article from the domains of Monte Carlo and quasi-Monte Carlo methods, Markov chains, sampling and low discrepancy sequences, simulation, rare events, graphics, finance, machine learning, stochastic processes, and tractability.

Author: Don L. McLeish
Publisher: John Wiley & Sons
ISBN: 1118160940
Category : Business & Economics
Languages : en
Pages : 308

View

Book Description
Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.

Author: Michael C Fu
Publisher:
ISBN: 9781461562948
Category :
Languages : en
Pages : 420

View

Book Description