Monte Carlo Methods And Models In Finance And Insurance

Monte Carlo is a universal tool that can be applied in nearly every area of financial and actuarial modeling if one fully understand simulation. This book introduces financial and actuarial models via mathematical simulation. It gives a rigorous introduction to MC simulation, including random number [...]
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Monte Carlo is a universal tool that can be applied in nearly every area of financial and actuarial modeling if one fully understand simulation. This book introduces financial and actuarial models via mathematical simulation. It gives a rigorous introduction to MC simulation, including random number generation, basic methods, convergence, and variance reduction. It describes financial and actuarial models, including Black-Scholes, Levy processes, interest rate, time series, risk, and claim processes. It shows how simulation techniques can be applied to these models to solve problems in finance, including option pricing, derivatives pricing, risk and asset liability management.