Monte Carlo Methods and Models in Finance and Insurance

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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 ...

Monte Carlo Methods and Models in Finance and Insurance 2010, CRC Press, Boca Raton, FL

ISBN-13: 9781420076189

Hardcover

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