Monte Carlo methods in financial engineering / Paul Glasserman

Auteur principal : Glasserman, Paul, 1962-, AuteurType de document : MonographieCollection : Stochastic modelling and applied probability; formerly: Applications of mathematics, 53Langue : anglais.Pays: Etats Unis.Éditeur : New York : Springer, 2004Description : 1 vol. (XIII-596 p.) : fig. ; 25 cmISBN: 0387004513.ISSN: 0172-4568.Bibliographie : Bibliogr. p. [569]-586. Index.Sujet MSC : 65C05, Numerical analysis - Probabilistic methods, stochastic differential equations, Monte Carlo methods
91-02, Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
65C10, Probabilistic methods, stochastic differential equations, Random number generation in numerical analysis
62P05, Applications of statistics to actuarial sciences and financial mathematics
91B62, Mathematical economics, Economic growth models
91B70, Mathematical economics, Stochastic models in economics
En-ligne : Springerlink Item type: Monographie
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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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