Monte Carlo methods in financial engineering / Paul Glasserman

Auteur: Glasserman, Paul (1962-) - AuteurType de document: MonographieCollection: Stochastic modelling and applied probability; formerly: Applications of mathematics ; 53Langue: anglaisPays: Etats UnisÉditeur: New York : Springer, 2004Description: 1 vol. (XIII-596 p.) : fig. ; 25 cm ISBN: 0387004513 ; rel. Note: This book is a valuable addition to the references devoted to Monte Carlo methods. It is an outgrowth of lecture notes the author has used over several years at different universities and is intended to serve graduate students in financial engineering, researchers interested in the application of Monte Carlo methods in finance, and practitioners implementing models in industryBibliographie: Bibliogr. p. [569]-586. Index. Sujets MSC: 65C05 Numerical analysis -- Probabilistic methods, simulation and stochastic differential equations -- Monte Carlo methods
91-02 Game theory, economics, social and behavioral sciences -- Research exposition (monographs, survey articles)
65C10 Numerical analysis -- Probabilistic methods, simulation and stochastic differential equations -- Random number generation
62P05 Statistics -- Applications -- Applications to actuarial sciences and financial mathematics
91B62 Game theory, economics, social and behavioral sciences -- Mathematical economics -- Growth models
91B70 Game theory, economics, social and behavioral sciences -- Mathematical economics -- Stochastic models
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This book is a valuable addition to the references devoted to Monte Carlo methods. It is an outgrowth of lecture notes the author has used over several years at different universities and is intended to serve graduate students in financial engineering, researchers interested in the application of Monte Carlo methods in finance, and practitioners implementing models in industry

Bibliogr. p. [569]-586. Index

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