Handbook in Monte Carlo Simulation —— Applications in Financial Engineering, Risk Management, and Economics

----- 蒙特卡罗模拟手册：金融工程、风险管理与经济学应用

ISBN: 9780470531112 出版年：2014 页码：685 Paolo Brandimarte Wiley

The book illustrates the application of Monte Carlo methods in financial engineering and economics. The book is organized into five parts: introduction and motivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysis and variance reduction; and applications ranging from option pricing and risk management to optimization. Advanced topics like stochastic differential equations, low-discrepancy sequences, stochastic optimization, numerical methods for stochastic dynamic programming, risk measures, and Markov chain Monte Carlo methods are illustrated with practical applications and working R code is provided