Monte Carlo Simulation with Applications to Finance, Wang, Hui
Автор: Wang, Hui Название: Monte carlo simulation with applications to finance ISBN: 0367381354 ISBN-13(EAN): 9780367381356 Издательство: Taylor&Francis Рейтинг: Цена: 65320.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Developed from the author's course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry.
The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes.
Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB(R) coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.
Название: Stochastic Simulation and Monte Carlo Methods ISBN: 3642393624 ISBN-13(EAN): 9783642393624 Издательство: Springer Рейтинг: Цена: 55890.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes.
Автор: Gamerman, Dani. Название: Markov Chain Monte Carlo ISBN: 1584885874 ISBN-13(EAN): 9781584885870 Издательство: Taylor&Francis Рейтинг: Цена: 102080.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Incorporating changes in theory and highlighting various applications, this book presents a comprehensive introduction to the methods of Markov Chain Monte Carlo (MCMC) simulation technique. It incorporates the developments in MCMC, including reversible jump, slice sampling, bridge sampling, path sampling, multiple-try, and delayed rejection.
Автор: Del Moral Название: Mean Field Simulation for Monte Carlo Integration ISBN: 1138198730 ISBN-13(EAN): 9781138198739 Издательство: Taylor&Francis Рейтинг: Цена: 53070.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
In the last three decades, there has been a dramatic increase in the use of interacting particle methods as a powerful tool in real-world applications of Monte Carlo simulation in computational physics, population biology, computer sciences, and statistical machine learning. Ideally suited to parallel and distributed computation, these advanced particle algorithms include nonlinear interacting jump diffusions; quantum, diffusion, and resampled Monte Carlo methods; Feynman-Kac particle models; genetic and evolutionary algorithms; sequential Monte Carlo methods; adaptive and interacting Markov chain Monte Carlo models; bootstrapping methods; ensemble Kalman filters; and interacting particle filters.
Mean Field Simulation for Monte Carlo Integration presents the first comprehensive and modern mathematical treatment of mean field particle simulation models and interdisciplinary research topics, including interacting jumps and McKean-Vlasov processes, sequential Monte Carlo methodologies, genetic particle algorithms, genealogical tree-based algorithms, and quantum and diffusion Monte Carlo methods.
Along with covering refined convergence analysis on nonlinear Markov chain models, the author discusses applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology.
This book shows how mean field particle simulation has revolutionized the field of Monte Carlo integration and stochastic algorithms. It will help theoretical probability researchers, applied statisticians, biologists, statistical physicists, and computer scientists work better across their own disciplinary boundaries.
Автор: Rubinstein Reuven Y. Название: Simulation and the Monte Carlo Method ISBN: 1118632168 ISBN-13(EAN): 9781118632161 Издательство: Wiley Рейтинг: Цена: 116110.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Simulation and the Monte Carlo Method, Third Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the major topics that have emerged in Monte Carlo simulation since the publication of the classic First Edition over more than a quarter of a century ago.
Автор: Nick T. Thomopoulos Название: Essentials of Monte Carlo Simulation ISBN: 1489986081 ISBN-13(EAN): 9781489986085 Издательство: Springer Рейтинг: Цена: 102480.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book focuses on the fundamentals of Monte Carlo methods using basic computer simulation techniques. It illustrates the best ways to select input distributions and parameters with or without sample data.
Автор: Enrico Zio Название: The Monte Carlo Simulation Method for System Reliability and Risk Analysis ISBN: 1447159012 ISBN-13(EAN): 9781447159018 Издательство: Springer Рейтинг: Цена: 130590.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book illustrates the Monte Carlo simulation method and its application to reliability and system engineering. Conveys a sound understanding of of the fundamentals of Monte Carlo sampling and simulation and its application for realistic system modeling.
Автор: Carlo Jacoboni; Paolo Lugli Название: The Monte Carlo Method for Semiconductor Device Simulation ISBN: 3211821104 ISBN-13(EAN): 9783211821107 Издательство: Springer Рейтинг: Цена: 191560.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This volume presents the application of the Monte Carlo method to the simulation of semiconductor devices, reviewing the physics of transport in semiconductors, followed by an introduction to the physics of semiconductor devices.
Автор: Chjan Lim; Joseph Nebus Название: Vorticity, Statistical Mechanics, and Monte Carlo Simulation ISBN: 1441922474 ISBN-13(EAN): 9781441922472 Издательство: Springer Рейтинг: Цена: 135090.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book is drawn from across many active fields of mathematics and physics. With fresh insights into an important field, the book addresses how to access interesting, original, and publishable research in statistical modeling of large-scale flows and related fields.
Автор: Nick T. Thomopoulos Название: Essentials of Monte Carlo Simulation ISBN: 1461460212 ISBN-13(EAN): 9781461460213 Издательство: Springer Рейтинг: Цена: 139750.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book focuses on the fundamentals of Monte Carlo methods using basic computer simulation techniques. It illustrates the best ways to select input distributions and parameters with or without sample data.
Автор: Owen Название: Monte Carlo and Quasi-Monte Carlo Methods ISBN: 3319914359 ISBN-13(EAN): 9783319914350 Издательство: Springer Рейтинг: Цена: 93160.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book presents the refereed proceedings of the Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at Stanford University (California) in August 2016.
Автор: Reuven Y. Rubinstein; Dirk P. Kroese Название: The Cross-Entropy Method ISBN: 1441919406 ISBN-13(EAN): 9781441919403 Издательство: Springer Рейтинг: Цена: 139750.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book is a comprehensive and accessible introduction to the cross-entropy (CE) method. The CE method started life around 1997 when the first author proposed an adaptive algorithm for rare-event simulation using a cross-entropy minimization technique. It was soon realized that the underlying ideas had a much wider range of application than just in rare-event simulation; they could be readily adapted to tackle quite general combinatorial and multi-extremal optimization problems, including many problems associated with the field of learning algorithms and neural computation. The book is based on an advanced undergraduate course on the CE method, given at the Israel Institute of Technology (Technion) for the last three years. It is aimed at a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist or practitioner, who is interested in smart simulation, fast optimization, learning algorithms, image processing, etc. Our aim was to write a book on the CE method which was accessible to advanced undergraduate students and engineers who simply want to apply the CE method in their work, while at the same time accentu- ating the unifying and novel mathematical ideas behind the CE method, so as to stimulate further research at a postgraduate level.
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