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| Author | : Christian Robert |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 297 |
| Release | : 2010 |
| Genre | : Computers |
| ISBN | : 1441915753 |
This book covers the main tools used in statistical simulation from a programmer’s point of view, explaining the R implementation of each simulation technique and providing the output for better understanding and comparison.
| Author | : Peter Jäckel |
| Publisher | : John Wiley & Sons |
| Total Pages | : 245 |
| Release | : 2002-04-03 |
| Genre | : Business & Economics |
| ISBN | : 047149741X |
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.
| Author | : Adrian Barbu |
| Publisher | : Springer Nature |
| Total Pages | : 433 |
| Release | : 2020-02-24 |
| Genre | : Mathematics |
| ISBN | : 9811329710 |
This book seeks to bridge the gap between statistics and computer science. It provides an overview of Monte Carlo methods, including Sequential Monte Carlo, Markov Chain Monte Carlo, Metropolis-Hastings, Gibbs Sampler, Cluster Sampling, Data Driven MCMC, Stochastic Gradient descent, Langevin Monte Carlo, Hamiltonian Monte Carlo, and energy landscape mapping. Due to its comprehensive nature, the book is suitable for developing and teaching graduate courses on Monte Carlo methods. To facilitate learning, each chapter includes several representative application examples from various fields. The book pursues two main goals: (1) It introduces researchers to applying Monte Carlo methods to broader problems in areas such as Computer Vision, Computer Graphics, Machine Learning, Robotics, Artificial Intelligence, etc.; and (2) it makes it easier for scientists and engineers working in these areas to employ Monte Carlo methods to enhance their research.
| Author | : Paul Glasserman |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 603 |
| Release | : 2013-03-09 |
| Genre | : Mathematics |
| ISBN | : 0387216170 |
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
| Author | : George Fishman |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 721 |
| Release | : 2013-03-09 |
| Genre | : Mathematics |
| ISBN | : 1475725531 |
Apart from a thorough exploration of all the important concepts, this volume includes over 75 algorithms, ready for putting into practice. The book also contains numerous hands-on implementations of selected algorithms to demonstrate applications in realistic settings. Readers are assumed to have a sound understanding of calculus, introductory matrix analysis, and intermediate statistics, but otherwise the book is self-contained. Suitable for graduates and undergraduates in mathematics and engineering, in particular operations research, statistics, and computer science.
| Author | : Christian Robert |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 670 |
| Release | : 2013-03-14 |
| Genre | : Mathematics |
| ISBN | : 1475741456 |
We have sold 4300 copies worldwide of the first edition (1999). This new edition contains five completely new chapters covering new developments.
| Author | : Mark Braude |
| Publisher | : Simon and Schuster |
| Total Pages | : 304 |
| Release | : 2017-04-25 |
| Genre | : Business & Economics |
| ISBN | : 147670970X |
"A rollicking narrative history of Jazz Age Monte Carlo, chronicling the city's rise from WWI's ashes to become one of the world's most storied, infamous playgrounds of the rich, only to be crushed under it's own weight ten years later"--Provided by publisher.
| Author | : William L. Dunn |
| Publisher | : Elsevier |
| Total Pages | : 594 |
| Release | : 2022-06-07 |
| Genre | : Science |
| ISBN | : 0128197455 |
Exploring Monte Carlo Methods, Second Edition provides a valuable introduction to the numerical methods that have come to be known as "Monte Carlo." This unique and trusted resource for course use, as well as researcher reference, offers accessible coverage, clear explanations and helpful examples throughout. Building from the basics, the text also includes applications in a variety of fields, such as physics, nuclear engineering, finance and investment, medical modeling and prediction, archaeology, geology and transportation planning. Provides a comprehensive yet concise treatment of Monte Carlo methods Uses the famous "Buffon’s needle problem" as a unifying theme to illustrate the many aspects of Monte Carlo methods Includes numerous exercises and useful appendices on: Certain mathematical functions, Bose Einstein functions, Fermi Dirac functions and Watson functions
| Author | : Thomas M. Carsey |
| Publisher | : SAGE Publications |
| Total Pages | : 304 |
| Release | : 2013-08-05 |
| Genre | : Social Science |
| ISBN | : 1483324923 |
Taking the topics of a quantitative methodology course and illustrating them through Monte Carlo simulation, Monte Carlo Simulation and Resampling Methods for Social Science, by Thomas M. Carsey and Jeffrey J. Harden, examines abstract principles, such as bias, efficiency, and measures of uncertainty in an intuitive, visual way. Instead of thinking in the abstract about what would happen to a particular estimator "in repeated samples," the book uses simulation to actually create those repeated samples and summarize the results. The book includes basic examples appropriate for readers learning the material for the first time, as well as more advanced examples that a researcher might use to evaluate an estimator he or she was using in an actual research project. The book also covers a wide range of topics related to Monte Carlo simulation, such as resampling methods, simulations of substantive theory, simulation of quantities of interest (QI) from model results, and cross-validation. Complete R code from all examples is provided so readers can replicate every analysis presented using R.
| Author | : Ronald W. Shonkwiler |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 249 |
| Release | : 2009-08-11 |
| Genre | : Mathematics |
| ISBN | : 0387878378 |
Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Applications covered in this book include optimization, finance, statistical mechanics, birth and death processes, and gambling systems. Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material. This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics.
