Simulation and Monte Carlo
With Applications in Finance and MCMC
By (author) J. S. Dagpunar
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Simulation and Monte Carlo by J. S. Dagpunar
Book DescriptionSimulation and Monte Carlo is aimed at students studying for degrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, who wish an up-to-date account of the theory and practice of Simulation. Its distinguishing features are in-depth accounts of the theory of Simulation, including the important topic of variance reduction techniques, together with illustrative applications in Financial Mathematics, Markov chain Monte Carlo, and Discrete Event Simulation. Each chapter contains a good selection of exercises and solutions with an accompanying appendix comprising a Maple worksheet containing simulation procedures. The worksheets can also be downloaded from the web site supporting the book. This encourages readers to adopt a hands-on approach in the effective design of simulation experiments. Arising from a course taught at Edinburgh University over several years, the book will also appeal to practitioners working in the finance industry, statistics and operations research.
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Book DetailsISBN: 9780470854952
(244mm x 171mm x 19mm)
Publisher: John Wiley and Sons Ltd
Publish Date: 26-Jan-2007
Country of Publication: United States
Books By Author J. S. Dagpunar
Simulation and Monte Carlo, Hardback (January 2007)» View all books by J. S. Dagpunar
This book provides a lucid and comprehensive introduction to simulation methods, and features examples and applications using Maple. Maple is widely used at undergraduate mathematics level in the UK, US and Europe. It is readily available to students, researchers and practitioners, and the code is easily transferrable into other languages.
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