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Review
The collection of topics covered is rather impressive. … this book ought to serve as a valuable reference provided that one has sufficient background in finance, prospect theory, and stochastic processes. It is self contained, and the formal background for each model is conservatively described. This work also does an splendid occupation of supplying an accessible source for some of the most recent financial models and latest Monte Carlo methods for their application.
—Maria L. Rizzo, The American Statistician, November 2011
This book is a comprehensive canter through the respective Monte Carlo methods and their application in a lot of financial models before rounding off with a high level assessment of their role within the insurance industry. The book covers a wide range of methods and models from old favourites like the Black-Scholes model to recent developments such as the multilevel Monte Carlo method. … the writers cleverly weave in example algorithms allround the book which allows the user to mock up simple examples of the method. … a good reference book which was comprehensive in it is coverage of the methods and financial models available. The book surely brought to my attention methods and apps I was incognizant of with discussion of a heap of very recent developments. … what stood out with regards to the book for me (apart from the wide coverage) was the use of example algorithms and numbers by the authors.
—Annals of Actuarial Science, Vol. 5, June 2011
This book takes a straightforward line to talk about Monte Carlo experiments with financial and insurance applications, supplying a step-by-step approach to Monte Carlo methods with broad description of the algorithms required. … this book includes a stringent and concise description of a lot of financial models and offers an up-to-date survey of this literature. This indepth book may be seen as a handbook on Monte Carlo methods and models for practitioners in finance and may be employed in graduate courses on simulation models, numerical methods, financial mathematics, actuarial models and financial econometrics. It is surely a toolkit of models and their sameness Monte Carlo algorithms for practitioners and researchers in finance and insurance.
—Journal of the Royal Statistical Society: Series A, July 2011
About the Author
Ralf Korn is a professor of financial mathematics at the University of Kaiserslautern and a fellow member of the scientific advisory board of Fraunhofer ITWM in Kaiserslautern, Germany.
Elke Korn is an independent financial mathematics advisor in Kaiserslautern, Germany.
Gerald Kroisandt is a financial mathematician at Fraunhofer ITWM, in Kaiserslautern, Germany.
Offering a distinctive remainder amongst apps and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and apps 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 writers separately talk about Monte Carlo techniques, stochastic procedure basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to utilise the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of ordinary Monte Carlo tools and for a elaborated focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for general simulation and the simulation of stochastic processes with ceaseless and discontinuous paths. It also covers a wide selection of frequent models in finance and insurance, from Black–Scholes to stochastic volatility to interest rate to dynamic mortality.
Through it is a heap of numerical and graphical illustrations and simple, perceptive examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in respective financial situations. The intuitive making something publicly available inspires readers to utilize and further invent the simulation methods.
Product Details
- Amazon Sales Rank: #1141733 in Books
- Published on: 2010-02-26
- Original language: English
- Number of items: 1
- Dimensions: 1.20″ h x 6.30″ w x 9.30″ l, 1.75 pounds
- Binding: Hardcover
- 484 pages
Reviews
0 of 2 people found the following review helpful.
great
By Rags
book came in on time using amazon prime. the book was in good quality as stated, almost new. great job on everything,
thanks
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