Monte Carlo Methods and Models in Finance and Insurance (Chapman and Hall/CRC Financial Mathematics Series) - Hardcover

Korn, Elke; Kroisandt, Gerald; Korn, Ralf

Hardcover

ISBN 10: 1420076183 ISBN 13: 9781420076189

Verlag: CRC Press, 2010

Inhaltsangabe

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.

Über diesen Titel

Über die Autorin bzw. den Autor

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.

Details zur Ausgabe

• Verlag: CRC Press
• Erscheinungsdatum: 2010
• Sprache: Englisch
• ISBN 10: 1420076183
• ISBN 13: 9781420076189
• Einband: Tapa dura
• Auflage: 1
• Anzahl der Seiten: 486
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Nicht verfügbar