rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Monte Carlo methods and models in finance and insurance
  name:
    name part: Korn, Ralf
    role:
      role term: creator
    role:
      role term: author
  name:
    name part: Korn, Elke
    name part: 1962-
    role:
      role term: author
  name:
    name part: Kroisandt, Gerald
    role:
      role term: author
  type of resource: text
  origin info:
    place:
      place term: flu
    place:
      place term: Boca Raton, Florida
    publisher: CRC Press/Taylor & Francis
    date issued: c2010
    date issued: 2010
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: print
    extent: xiii, 470 p. : ill. ; 24 cm.
  abstract: "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 Romberg method, and the Heath-Platen estimator, as well as recent financial and actuarial models, such as the Cheyette and dynamic mortality models." "The authors separately discuss Monte Carlo techniques, stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to apply the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of standard Monte Carlo tools and for a detailed focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for standard simulation and the simulation of stochastic processes with continuous and discontinuous paths. It also covers a wide selection of popular models in finance and insurance, from Black-Scholes to stochastic volatility to interest rate to dynamic mortality." "Through its many numerical and graphical illustrations and simple, insightful examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in various financial situations. The intuitive presentation encourages readers to implement and further develop the simulation methods."--BOOK JACKET
  table of contents: 1. Introduction and user guide -- 2. Generating random numbers -- 3. The Monte Carlo method: basic principles -- 4. Continuous-time stochastic processes: Continuous paths -- 5. Stimulating financial models: continuous paths -- 6. Continuous-time stochastic processes: discontinuous paths -- 7. Stimulating financial models: discontinuous paths -- 8. Stimulating actuarial models
  note: Ralf Korn, Elke Korn, Gerald Kroisandt
  note: Includes bibliographical references (p. 441-457) and index
  subject:
    topic: Business mathematics
  subject:
    topic: Insurance
    topic: Mathematics
  subject:
    topic: Monte Carlo method
  classification: HF5691 .K67 2010
  identifier: 1420076183 (hardcover : alk. paper)
  identifier: 9781420076189 (hardcover : alk. paper)
  record info:
    record creation date: 110615
    record change date: 20111012093000.0
    record identifier: 0000073644