# Электронная книга: Thomas Taimre «Handbook of Monte Carlo Methods»

 A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key MonteCarlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels. Издательство: "John Wiley&Sons Limited" ISBN: 9781118014943 электронная книга Купить за 13358.32 руб и скачать на Litres

### Другие книги схожей тематики:

АвторКнигаОписаниеГодЦенаТип книги
Paolo BrandimarteHandbook in Monte Carlo Simulation. Applications in Financial Engineering, Risk Management, and EconomicsAn accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte… — @John Wiley&Sons Limited, @ @ @ @ Подробнее...
12097.35электронная книга
Ionut FlorescuHandbook of High-Frequency Trading and Modeling in FinanceReflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic… — @John Wiley&Sons Limited, @ @ @ @ Подробнее...
11582.49электронная книга
Ionut FlorescuHandbook of Modeling High-Frequency Data in FinanceCUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design… — @John Wiley&Sons Limited, @ @ @ @ Подробнее...
13204.47электронная книга
Pietro VeronesiHandbook of Fixed-Income SecuritiesA comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of… — @John Wiley&Sons Limited, @ @ @ @ Подробнее...
11582.49электронная книга

### См. также в других словарях:

• Monte Carlo method — Not to be confused with Monte Carlo algorithm. Computational physics …   Wikipedia

• Option (finance) — Stock option redirects here. For the employee incentive, see Employee stock option. Financial markets Public market Exchange Securities Bond market Fixed income …   Wikipedia

• John von Neumann — Von Neumann redirects here. For other uses, see Von Neumann (disambiguation). The native form of this personal name is Neumann János. This article uses the Western name order. John von Neumann …   Wikipedia

• Bayesian probability — Bayesian statistics Theory Bayesian probability Probability interpretations Bayes theorem Bayes rule · Bayes factor Bayesian inference Bayesian network Prior · Posterior · Likelihood …   Wikipedia

• Randomness — Random redirects here. For other uses, see Random (disambiguation). For a random Wikipedia article, see Special:Random. For information about Wikipedia s random article feature, see Wikipedia:Random. Randomness has somewhat differing meanings as… …   Wikipedia

• Computational statistics — Statistics algorithms were one of the first uses of modern computers. Computational statistics, or statistical computing, is the interface between statistics and computer science. It is the area of computational science (or scientific computing)… …   Wikipedia

• Agent-based model — An agent based model (ABM) (also sometimes related to the term multi agent system or multi agent simulation) is a class of computational models for simulating the actions and interactions of autonomous agents (both individual or collective… …   Wikipedia

• Computational mathematics — involves mathematical research in areas of science where computing plays a central and essential role, emphasizing algorithms, numerical methods, and symbolic methods. Computation in the research is prominent.[1] Computational mathematics emerged …   Wikipedia

• Morse potential — Computational physics Numerical analysis  …   Wikipedia

• BUF Compagnie — is a French/American digital visual effects company, specializing in CGI for feature films, commercials, and music videos.HistoryBased in Paris, France and Los Angeles, California, BUF Compagnie (BUF) was founded by Pierre Buffin in 1984Fact|date …   Wikipedia

• Internal conversion — This article is about the nuclear process. For the chemical process, see Internal conversion (chemistry). Internal conversion is a radioactive decay process where an excited nucleus interacts with an electron in one of the lower atomic orbitals,… …   Wikipedia

### Поделиться ссылкой на выделенное

##### Прямая ссылка:
Нажмите правой клавишей мыши и выберите «Копировать ссылку»