Handbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics / (Record no. 207153)
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| Canceled/invalid ISBN | 9780470531112 |
| Qualifying information | (cloth) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781306892957 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
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| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 800911 |
| Source of stock number/acquisition | EBSCO |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DLC |
| Language of cataloging | eng |
| Description conventions | rda |
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| Transcribing agency | DLC |
| Modifying agency | YDX |
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| 042 ## - AUTHENTICATION CODE | |
| Authentication code | pcc |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG106 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 069000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 055000 |
| Source | bisacsh |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 330.01/518282 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Brandimarte, Paolo. |
| 245 10 - TITLE STATEMENT | |
| Title | Handbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics / |
| Statement of responsibility, etc. | Paolo Brandimarte. |
| Medium | [electronic resource] |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Hoboken, New Jersey : |
| Name of producer, publisher, distributor, manufacturer | John Wiley & Sons, |
| Date of production, publication, distribution, manufacture, or copyright notice | [2014] |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource. |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
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| Media type term | computer |
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| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
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| 490 1# - SERIES STATEMENT | |
| Series statement | Wiley handbooks in financial engineering and econometrics |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc | Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Half Title page; Title page; Copyright page; Preface; Part One: Overview and Motivation; Chapter One: Introduction to Monte Carlo Methods; 1.1 Historical origin of Monte Carlo simulation; 1.2 Monte Carlo simulation vs. Monte Carlo sampling; 1.3 System dynamics and the mechanics of Monte Carlo simulation; 1.4 Simulation and optimization; 1.5 Pitfalls in Monte Carlo simulation; 1.6 Software tools for Monte Carlo simulation; 1.7 Prerequisites; For further reading; References; Chapter Two: Numerical Integration Methods; 2.1 Classical quadrature formulas; 2.2 Gaussian quadrature. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 2.3 Extension to higher dimensions: Product rules2.4 Alternative approaches for high-dimensional integration; 2.5 Relationship with moment matching; 2.6 Numerical integration in R; For further reading; References; Part Two: Input Analysis: Modeling and Estimation; Chapter Three: Stochastic Modeling in Finance and Economics; 3.1 Introductory examples; 3.2 Some common probability distributions; 3.3 Multivariate distributions: Covariance and correlation; 3.4 Modeling dependence with copulas; 3.5 Linear regression models: A probabilistic view; 3.6 Time series models. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 3.7 Stochastic differential equations3.8 Dimensionality reduction; 3.9 Risk-neutral derivative pricing; For further reading; References; Chapter Four: Estimation and Fitting; 4.1 Basic inferential statistics in R; 4.2 Parameter estimation; 4.3 Checking the fit of hypothetical distributions; 4.4 Estimation of linear regression models by ordinary least squares; 4.5 Fitting time series models; 4.6 Subjective probability: The Bayesian view; For further reading; References; Part Three: Sampling and Path Generation; Chapter Five: Random Variate Generation. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 5.1 The structure of a Monte Carlo simulation5.2 Generating pseudorandom numbers; 5.3 The inverse transform method; 5.4 The acceptance-rejection method; 5.5 Generating normal variates; 5.6 Other ad hoc methods; 5.7 Sampling from copulas; For further reading; References; Chapter Six: Sample Path Generation for Continuous-Time Models; 6.1 Issues in path generation; 6.2 Simulating geometric Brownian motion; 6.3 Sample paths of short-term interest rates; 6.4 Dealing with stochastic volatility; 6.5 Dealing with jumps; For further reading; References. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Part Four: Output Analysis and Efficiency ImprovementChapter Seven: Output Analysis; 7.1 Pitfalls in output analysis; 7.2 Setting the number of replications; 7.3 A world beyond averages; 7.4 Good and bad news; For further reading; References; Chapter Eight: Variance Reduction Methods; 8.1 Antithetic sampling; 8.2 Common random numbers; 8.3 Control variates; 8.4 Conditional Monte Carlo; 8.5 Stratified sampling; 8.6 Importance sampling; For further reading; References; Chapter Nine: Low-Discrepancy Sequences; 9.1 Low-discrepancy sequences; 9.2 Halton sequences. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | An 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 Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to. |
| 588 0# - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Print version record and CIP data provided by publisher. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economics |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Monte Carlo method. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Economics |
| -- | General. |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Reference. |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economics |
| General subdivision | Mathematical models. |
| Source of heading or term | fast |
| Authority record control number | (OCoLC)fst00902155 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models. |
| Source of heading or term | fast |
| Authority record control number | (OCoLC)fst00924398 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Monte Carlo method. |
| Source of heading or term | fast |
| Authority record control number | (OCoLC)fst01025819 |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Monte Carlo method. |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 655 #0 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Brandimarte, Paolo. |
| Title | Handbook in Monte Carlo simulation. |
| Place, publisher, and date of publication | Hoboken, New Jersey : John Wiley & Sons, [2014] |
| International Standard Book Number | 9780470531112 |
| Record control number | (DLC) 2013047832 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley handbooks in financial engineering and econometrics. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://onlinelibrary.wiley.com/book/10.1002/9781118593264 |
| Public note | Wiley Online Library |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | |
| Koha item type | Books |
No items available.