Monte Carlo Simulation with Applications to Finance, Wang, Hui
Автор: Gamerman, Dani. Название: Markov Chain Monte Carlo ISBN: 1584885874 ISBN-13(EAN): 9781584885870 Издательство: Taylor&Francis Рейтинг: Цена: 15312.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Incorporating changes in theory and highlighting various applications, this book presents a comprehensive introduction to the methods of Markov Chain Monte Carlo (MCMC) simulation technique. It incorporates the developments in MCMC, including reversible jump, slice sampling, bridge sampling, path sampling, multiple-try, and delayed rejection.
Автор: Rubinstein Reuven Y. Название: Simulation and the Monte Carlo Method ISBN: 1118632168 ISBN-13(EAN): 9781118632161 Издательство: Wiley Рейтинг: Цена: 17416.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Simulation and the Monte Carlo Method, Third Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the major topics that have emerged in Monte Carlo simulation since the publication of the classic First Edition over more than a quarter of a century ago.
Автор: Binder Kurt Название: Monte Carlo Simulation in Statistical Physics ISBN: 3030107574 ISBN-13(EAN): 9783030107574 Издательство: Springer Рейтинг: Цена: 10480.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The sixth edition of this highly successful textbook provides a detailed introduction to Monte Carlo simulation in statistical physics, which deals with the computer simulation of many-body systems in condensed matter physics and related fields of physics and beyond (traffic flows, stock market fluctuations, etc.). Using random numbers generated by a computer, these powerful simulation methods calculate probability distributions, making it possible to estimate the thermodynamic properties of various systems. The book describes the theoretical background of these methods, enabling newcomers to perform such simulations and to analyse their results. It features a modular structure, with two chapters providing a basic pedagogic introduction plus exercises suitable for university courses; the remaining chapters cover major recent developments in the field.This edition has been updated with two new chapters dealing with recently developed powerful special algorithms and with finite size scaling tools for the study of interfacial phenomena, which are important for nanoscience. Previous editions have been highly praised and widely used by both students and advanced researchers.
Автор: Wang, Hui Название: Monte carlo simulation with applications to finance ISBN: 0367381354 ISBN-13(EAN): 9780367381356 Издательство: Taylor&Francis Рейтинг: Цена: 9798.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Developed from the author's course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry.
The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes.
Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB(R) coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.
Название: Stochastic Simulation and Monte Carlo Methods ISBN: 3642393624 ISBN-13(EAN): 9783642393624 Издательство: Springer Рейтинг: Цена: 8384.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes.
Автор: Del Moral Название: Mean Field Simulation for Monte Carlo Integration ISBN: 1138198730 ISBN-13(EAN): 9781138198739 Издательство: Taylor&Francis Рейтинг: Цена: 7961.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
In the last three decades, there has been a dramatic increase in the use of interacting particle methods as a powerful tool in real-world applications of Monte Carlo simulation in computational physics, population biology, computer sciences, and statistical machine learning. Ideally suited to parallel and distributed computation, these advanced particle algorithms include nonlinear interacting jump diffusions; quantum, diffusion, and resampled Monte Carlo methods; Feynman-Kac particle models; genetic and evolutionary algorithms; sequential Monte Carlo methods; adaptive and interacting Markov chain Monte Carlo models; bootstrapping methods; ensemble Kalman filters; and interacting particle filters.
Mean Field Simulation for Monte Carlo Integration presents the first comprehensive and modern mathematical treatment of mean field particle simulation models and interdisciplinary research topics, including interacting jumps and McKean-Vlasov processes, sequential Monte Carlo methodologies, genetic particle algorithms, genealogical tree-based algorithms, and quantum and diffusion Monte Carlo methods.
Along with covering refined convergence analysis on nonlinear Markov chain models, the author discusses applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology.
This book shows how mean field particle simulation has revolutionized the field of Monte Carlo integration and stochastic algorithms. It will help theoretical probability researchers, applied statisticians, biologists, statistical physicists, and computer scientists work better across their own disciplinary boundaries.
Автор: Nick T. Thomopoulos Название: Essentials of Monte Carlo Simulation ISBN: 1489986081 ISBN-13(EAN): 9781489986085 Издательство: Springer Рейтинг: Цена: 15372.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book focuses on the fundamentals of Monte Carlo methods using basic computer simulation techniques. It illustrates the best ways to select input distributions and parameters with or without sample data.
Описание: This book illustrates the Monte Carlo simulation method and its application to reliability and system engineering. Conveys a sound understanding of of the fundamentals of Monte Carlo sampling and simulation and its application for realistic system modeling.
Автор: Carlo Jacoboni; Paolo Lugli Название: The Monte Carlo Method for Semiconductor Device Simulation ISBN: 3211821104 ISBN-13(EAN): 9783211821107 Издательство: Springer Рейтинг: Цена: 28734.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This volume presents the application of the Monte Carlo method to the simulation of semiconductor devices, reviewing the physics of transport in semiconductors, followed by an introduction to the physics of semiconductor devices.
Автор: Chjan Lim; Joseph Nebus Название: Vorticity, Statistical Mechanics, and Monte Carlo Simulation ISBN: 1441922474 ISBN-13(EAN): 9781441922472 Издательство: Springer Рейтинг: Цена: 20263.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is drawn from across many active fields of mathematics and physics. With fresh insights into an important field, the book addresses how to access interesting, original, and publishable research in statistical modeling of large-scale flows and related fields.
Автор: Nick T. Thomopoulos Название: Essentials of Monte Carlo Simulation ISBN: 1461460212 ISBN-13(EAN): 9781461460213 Издательство: Springer Рейтинг: Цена: 20962.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book focuses on the fundamentals of Monte Carlo methods using basic computer simulation techniques. It illustrates the best ways to select input distributions and parameters with or without sample data.
Автор: Owen Название: Monte Carlo and Quasi-Monte Carlo Methods ISBN: 3319914359 ISBN-13(EAN): 9783319914350 Издательство: Springer Рейтинг: Цена: 13974.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book presents the refereed proceedings of the Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at Stanford University (California) in August 2016.
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