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Monte Carlo Methods and Models in Finance and Insurance

Ralf Korn | Elke Korn | Gerald Kroisandt
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A01=Elke Korn
A01=Gerald Kroisandt
A01=Ralf Korn
actuarial mathematics applications
actuarial models
advanced simulation for insurance finance
American Contingent Claim
asset-liability management
Author_Elke Korn
Author_Gerald Kroisandt
Author_Ralf Korn
Bayesian estimation
Be
Bermudan Option
Bermudan Swaption
Black Scholes Setting
Black-Scholes model
Category=KCH
Category=KF
Category=PBT
Category=PBW
CEV Model
Compound Poisson Process
Conditional Expectations
Control Variate Estimator
Crude Monte Carlo Method
derivative pricing models
Discrete Barrier Options
dynamic mortality model
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
equivalent
Euler Maruyama Method
Euler Maruyama Scheme
financial engineering techniques
financial models
Forward LIBOR Rate
gamma
Gaussian Copula
Heath-Platen estimator
Heston Model
interest rate model
l
Levy process
LIBOR market models
life insurance
Markov chain Monte Carlo
martingale
MC
MCMC Chain
MCMC Method
Milstein Method
Monte Carlo method
Monte Carlo simulation
option
Option Price
pricing
process
quantitative risk modeling
random number generation
Romberg method
Solvency Capital Requirement
Solvency II
stochastic
stochastic differential equations
stochastic process
stochastic volatility model
Stock Price Paths
Tail Dependence
variance
Vg Process
volatility

Product details

  • ISBN 9781420076189
  • Weight: 800g
  • Dimensions: 156 x 234mm
  • Publication Date: 26 Feb 2010
  • Publisher: Taylor & Francis Inc
  • Publication City/Country: US
  • Product Form: Hardback
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Description

Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Romberg method, and the Heath–Platen estimator, as well as recent financial and actuarial models, such as the Cheyette and dynamic mortality models.

The authors separately discuss Monte Carlo techniques, stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to apply the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of standard Monte Carlo tools and for a detailed focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for standard simulation and the simulation of stochastic processes with continuous and discontinuous paths. It also covers a wide selection of popular models in finance and insurance, from Black–Scholes to stochastic volatility to interest rate to dynamic mortality.

Through its many numerical and graphical illustrations and simple, insightful examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in various financial situations. The intuitive presentation encourages readers to implement and further develop the simulation methods.
About Elke Korn | Gerald Kroisandt | Ralf Korn

Ralf Korn is a professor of financial mathematics at the University of Kaiserslautern and a member of the scientific advisory board of Fraunhofer ITWM in Kaiserslautern, Germany.

Elke Korn is an independent financial mathematics consultant in Kaiserslautern, Germany.

Gerald Kroisandt is a financial mathematician at Fraunhofer ITWM, in Kaiserslautern, Germany.

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