{"product_id":"simulation-and-monte-carlo-with-applications-in-finance-and-mcmc-hardback-9780470854945","title":"Simulation and Monte Carlo; With Applications in Finance and MCMC (Hardback) 9780470854945","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eSimulation and Monte Carlo\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eWith Applications in Finance and MCMC\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eJ. S. Dagpunar (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470854945, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 26 January 2007\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e320 pages\u003cbr\u003e25.4 x 17.3 x 2.5 cm, 0.794 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e\u003cp\u003e\"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.\" (\u003ci\u003eSignificance\u003c\/i\u003e, September 2009)\u003c\/p\u003e \u003cp\u003e\"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.\" (\u003ci\u003eJournal of the American Statistical Association\u003c\/i\u003e, June 2008)\u003c\/p\u003e \u003cp\u003e\"Dagpunar presents a textbook based on 20-hour courses he has taught for advanced students of mathematics and students of financial mathematics.\" (\u003ci\u003eSciTech Book Reviews\u003c\/i\u003e, June 2007)\u003c\/p\u003e \u003cp\u003e\"... excellent for students and practitioners who don't have previous experience with simulation methods... a great contribution.\" (\u003ci\u003eMAA Reviews\u003c\/i\u003e, April 5, 2007)\u003c\/p\u003e\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eSimulation 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.\u003c\/p\u003e \u003cp\u003eEach 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.\u003c\/p\u003e \u003cp\u003eArising 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.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cb\u003ePreface.\u003c\/b\u003e  \u003cp\u003e\u003cb\u003eGlossary.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction to simulation and Monte Carlo.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Evaluating a definite integral.\u003c\/p\u003e \u003cp\u003e1.2 Monte Carlo is integral estimation.\u003c\/p\u003e \u003cp\u003e1.3 An example.\u003c\/p\u003e \u003cp\u003e1.4 A simulation using Maple.\u003c\/p\u003e \u003cp\u003e1.5 Problems.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Uniform random numbers.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Linear congruential generators.\u003c\/p\u003e \u003cp\u003e2.2 Theoretical tests for random numbers.\u003c\/p\u003e \u003cp\u003e2.3 Shuffled generator.\u003c\/p\u003e \u003cp\u003e2.4 Empirical tests.\u003c\/p\u003e \u003cp\u003e2.5 Combinations of generators.\u003c\/p\u003e \u003cp\u003e2.6 The seed(s) in a random number generator.\u003c\/p\u003e \u003cp\u003e2.7 Problems.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 General methods for generating random variates.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Inversion of the cumulative distribution function.\u003c\/p\u003e \u003cp\u003e3.2 Envelope rejection.\u003c\/p\u003e \u003cp\u003e3.3 Ratio of uniforms method.\u003c\/p\u003e \u003cp\u003e3.4 Adaptive rejection sampling.\u003c\/p\u003e \u003cp\u003e3.5 Problems.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Generation of variates from standard distributions.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Standard normal distribution.\u003c\/p\u003e \u003cp\u003e4.2 Lognormal distribution.\u003c\/p\u003e \u003cp\u003e4.3 Bivariate normal density.\u003c\/p\u003e \u003cp\u003e4.4 Gamma distribution.\u003c\/p\u003e \u003cp\u003e4.5 Beta distribution.\u003c\/p\u003e \u003cp\u003e4.6 Chi-squared distribution.\u003c\/p\u003e \u003cp\u003e4.7 Student’s t distribution.\u003c\/p\u003e \u003cp\u003e4.8 Generalized inverse Gaussian distribution.\u003c\/p\u003e \u003cp\u003e4.9 Poisson distribution.\u003c\/p\u003e \u003cp\u003e4.10 Binomial distribution.\u003c\/p\u003e \u003cp\u003e4.11 Negative binomial distribution.\u003c\/p\u003e \u003cp\u003e4.12 Problems.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Variance reduction.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Antithetic variates.\u003c\/p\u003e \u003cp\u003e5.2 Importance sampling.\u003c\/p\u003e \u003cp\u003e5.3 Stratified sampling.\u003c\/p\u003e \u003cp\u003e5.4 Control variates.\u003c\/p\u003e \u003cp\u003e5.5 Conditional Monte Carlo.\u003c\/p\u003e \u003cp\u003e5.6 Problems.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Simulation and finance.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Brownian motion.\u003c\/p\u003e \u003cp\u003e6.2 Asset price movements.\u003c\/p\u003e \u003cp\u003e6.3 Pricing simple derivatives and options.\u003c\/p\u003e \u003cp\u003e6.4 Asian options.\u003c\/p\u003e \u003cp\u003e6.5 Basket options.\u003c\/p\u003e \u003cp\u003e6.6 Stochastic volatility.\u003c\/p\u003e \u003cp\u003e6.7 Problems.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Discrete event simulation.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Poisson process.\u003c\/p\u003e \u003cp\u003e7.2 Time-dependent Poisson process.\u003c\/p\u003e \u003cp\u003e7.3 Poisson processes in the plane.\u003c\/p\u003e \u003cp\u003e7.4 Markov chains.\u003c\/p\u003e \u003cp\u003e7.5 Regenerative analysis.\u003c\/p\u003e \u003cp\u003e7.6 Simulating a G\/G\/1 queueing system using the three-phase method.\u003c\/p\u003e \u003cp\u003e7.7 Simulating a hospital ward.\u003c\/p\u003e \u003cp\u003e7.8 Problems.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Markov chain Monte Carlo.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Bayesian statistics.\u003c\/p\u003e \u003cp\u003e8.2 Markov chains and the Metropolis–Hastings (MH) algorithm.\u003c\/p\u003e \u003cp\u003e8.3 Reliability inference using an independence sampler.\u003c\/p\u003e \u003cp\u003e8.4 Single component Metropolis–Hastings and Gibbs sampling.\u003c\/p\u003e \u003cp\u003e8.5 Other aspects of Gibbs sampling.\u003c\/p\u003e \u003cp\u003e8.6 Problems.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Solutions.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Solutions 1.\u003c\/p\u003e \u003cp\u003e9.2 Solutions 2.\u003c\/p\u003e \u003cp\u003e9.3 Solutions 3.\u003c\/p\u003e \u003cp\u003e9.4 Solutions 4.\u003c\/p\u003e \u003cp\u003e9.5 Solutions 5.\u003c\/p\u003e \u003cp\u003e9.6 Solutions 6.\u003c\/p\u003e \u003cp\u003e9.7 Solutions 7.\u003c\/p\u003e \u003cp\u003e9.8 Solutions 8.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 1: Solutions to problems in Chapter 1.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 2: Random Number Generators.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 3: Computations of acceptance probabilities.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 4: Random variate generators (standard distributions).\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 5: Variance Reduction.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 6: Simulation and Finance.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 7: Discrete event simulation.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 8: Markov chain Monte Carlo.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eReferences.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndex.\u003c\/b\u003e\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Mathematics [\u003ca title=\"See our other books on Mathematics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Mathematics%20%5BPB%5D%22\"\u003ePB\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52501431943448,"sku":"9780470854945","price":101.65,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780470854945.jpg?v=1786238293","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/simulation-and-monte-carlo-with-applications-in-finance-and-mcmc-hardback-9780470854945","provider":"Freshly Printed Books","version":"1.0","type":"link"}