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Simulation and Monte Carlo: With Applications in Finance and MCMC (Wiley Series in Probability and Statistics) - Hardcover
Synopsis
Simulation 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.
"synopsis" may belong to another edition of this title.
About the Author
J. S. Dagpunar is the author of Simulation and Monte Carlo: With Applications in Finance and MCMC, published by Wiley.
Review
?This book would be immensely useful for any practitioner seeking to learn more about this field, as well as for lecturers seeking a reliable and informative text.? ( Significance, September 2009)
"The book does a nice job of discussing, developing, and presenting the mathematical aspects of random processes, random number generation, and Markov chain Monte Carlo (MCMC) methods. I particularly like the notation used and the depth of proofs offered; they are technically correct, well organized, and nicely presented." (Journal of the American Statistical Association, June 2008)
?Dagpunar presents a textbook based on 20-hour courses he has taught for advanced students of mathematics and students of financial mathematics.? (SciTech Book Reviews, June 2007)
"?excellent for students and practitioners who don't have previous experience with simulation methods?a great contribution." (MAA Reviews, April 5, 2007)
"About this title" may belong to another edition of this title.
- PublisherWiley
- Publication date2007
- ISBN 10 0470854944
- ISBN 13 9780470854945
- BindingHardcover
- LanguageEnglish
- Number of pages320
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Simulation and Monte Carlo: With Applications in Finance and MCMC.
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Simulation and Monte Carlo (Hardcover)
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John Wiley & Sons Inc, New York, 2007
ISBN 10: 0470854944
ISBN 13: 9780470854945
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Hardcover. Condition: new. Hardcover. Simulation 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. 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. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Seller Inventory # 9780470854945
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