Monte Carlo Methods and Models in Finance and Insurance

Korn, Ralf (Author)/ Korn, Elke (Author)/ Kroisandt, Gerald (Author)

ISBN 10: 1420076183 / ISBN 13: 9781420076189

Edité par CRC Pr I Llc, 2009

1st edition. 484 pages. 9.53x6.50x1.22 inches. In Stock. This item is printed on demand. N° de réf. du vendeur __1420076183

Synopsis :

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.

À propos de l?auteur:

Ralf Korn is a professor of financial mathematics at the University of Kaiserslautern and a member of the scientific advisory board of Fraunhofer ITWM in Kaiserslautern, Germany.

Elke Korn is an independent financial mathematics consultant in Kaiserslautern, Germany.

Gerald Kroisandt is a financial mathematician at Fraunhofer ITWM, in Kaiserslautern, Germany.

Détails bibliographiques

Titre : Monte Carlo Methods and Models in Finance ...
Éditeur : CRC Pr I Llc
Date d'édition : 2009
Reliure : Hardcover
Etat : Brand New