Centro de Documentación de Fundación MAPFRE - Handbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics

MAP20140047642

Handbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics / Paolo Brandimarte. — New Jersey : Wiley, cop. 2014

XVII, 662 p. ; 26 cm.

Sumario: Introduction to Monte Carlo Methods -- Numerical integration methods -- Stochastic modeling in finance and economics -- Estimation and fitting -- Random variate generation -- Sample path generation for continuous-time models -- Output analysis -- Variance reduction methods -- Low-discrepancy sequences -- Optimization -- Option pricing -- Sensitivity estimation -- Risk measurement and management -- Markov chain Monte Carlo and Bayesian statistics

DL 978-0-470-53111-2

1. Modelos matemáticos . 2. Modelos de simulación . 3. Simulación Monte Carlo . 4. Matemática financiera . 5. Finanzas . I. Título.

FUNDACIÓN MAPFRE. Centro de Documentación

FUNDACIÓN MAPFRE. Centro de Documentación — Assinatura: MAP - 937.412 BRA HAN — Nº de registro: 050935

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