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Handbook In Monte Carlo Simulation

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Handbook In Monte Carlo Simulation

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Author : Paolo Brandimarte
language : en
Publisher: John Wiley & Sons
Release Date : 2014-06-20

Handbook In Monte Carlo Simulation written by Paolo Brandimarte and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-20 with Business & Economics categories.

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

Handbook In Monte Carlo Simulation

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Author : Paolo Brandimarte
language : en
Publisher: John Wiley & Sons
Release Date : 2014-06-17

Handbook Of Monte Carlo Methods

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Author : Dirk P. Kroese
language : en
Publisher: John Wiley & Sons
Release Date : 2013-06-06

Handbook Of Monte Carlo Methods written by Dirk P. Kroese and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-06 with Mathematics categories.

A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.

Handbook Of Decision Analysis

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Author : Gregory S. Parnell
language : en
Publisher: John Wiley & Sons
Release Date : 2025-04-24

Handbook Of Decision Analysis written by Gregory S. Parnell and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-04-24 with Business & Economics categories.

Qualitative and quantitative techniques to apply decision analysis to real-world decision problems, supported by sound mathematics, best practices, soft skills, and more With substantive illustrations based on the authors’ personal experiences throughout, Handbook of Decision Analysis describes the philosophy, knowledge, science, and art of decision analysis. Key insights from decision analysis applications and behavioral decision analysis research are presented, and numerous decision analysis textbooks, technical books, and research papers are referenced for comprehensive coverage. This book does not introduce new decision analysis mathematical theory, but rather ensures the reader can understand and use the most common mathematics and best practices, allowing them to apply rigorous decision analysis with confidence. The material is supported by examples and solution steps using Microsoft Excel and includes many challenging real-world problems. Given the increase in the availability of data due to the development of products that deliver huge amounts of data, and the development of data science techniques and academic programs, a new theme of this Second Edition is the use of decision analysis techniques with big data and data analytics. Written by a team of highly qualified professionals and academics, Handbook of Decision Analysis includes information on: Behavioral decision-making insights, decision framing opportunities, collaboration with stakeholders, information assessment, and decision analysis modeling techniques Principles of value creation through designing alternatives, clear value/risk tradeoffs, and decision implementation Qualitative and quantitative techniques for each key decision analysis task, as opposed to presenting one technique for all decisions. Stakeholder analysis, decision hierarchies, and influence diagrams to frame descriptive, predictive, and prescriptive analytics decision problems to ensure implementation success Handbook of Decision Analysis is a highly valuable textbook, reference, and/or refresher for students and decision professionals in business, management science, engineering, engineering management, operations management, mathematics, and statistics who want to increase the breadth and depth of their technical and soft skills for success when faced with a professional or personal decision.

A Guide To Monte Carlo Simulations In Statistical Physics

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Author : David P. Landau
language : en
Publisher: Cambridge University Press
Release Date : 2000-08-17

A Guide To Monte Carlo Simulations In Statistical Physics written by David P. Landau and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-08-17 with Mathematics categories.

This book describes all aspects of Monte Carlo simulation of complex physical systems encountered in condensed-matter physics and statistical mechanics, as well as in related fields, such as polymer science and lattice gauge theory. The authors give a succinct overview of simple sampling methods and develop the importance sampling method. In addition they introduce quantum Monte Carlo methods, aspects of simulations of growth phenomena and other systems far from equilibrium, and the Monte Carlo Renormalization Group approach to critical phenomena. The book includes many applications, examples, and current references, and exercises to help the reader.

Handbook Of Simulation Optimization

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Author : Michael C Fu
language : en
Publisher: Springer
Release Date : 2014-11-13

Handbook Of Simulation Optimization written by Michael C Fu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-13 with Business & Economics categories.

The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent research advances in theory and methodology. Leading contributors cover such topics as discrete optimization via simulation, ranking and selection, efficient simulation budget allocation, random search methods, response surface methodology, stochastic gradient estimation, stochastic approximation, sample average approximation, stochastic constraints, variance reduction techniques, model-based stochastic search methods and Markov decision processes. This single volume should serve as a reference for those already in the field and as a means for those new to the field for understanding and applying the main approaches. The intended audience includes researchers, practitioners and graduate students in the business/engineering fields of operations research, management science, operations management and stochastic control, as well as in economics/finance and computer science.

Probabilistic Structural Mechanics Handbook

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Author : C.R. Sundararajan
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Probabilistic Structural Mechanics Handbook written by C.R. Sundararajan and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Technology & Engineering categories.

The need for a comprehensive book on probabilistic structural mechanics that brings together the many analytical and computational methods developed over the years and their applications in a wide spectrum of industries-from residential buildings to nuclear power plants, from bridges to pressure vessels, from steel structures to ceramic structures-became evident from the many discussions the editor had with practising engineers, researchers and professors. Because no single individual has the expertise to write a book with such a di.verse scope, a group of 39 authors from universities, research laboratories, and industries from six countries in three continents was invited to write 30 chapters covering the various aspects of probabilistic structural mechanics. The editor and the authors believe that this handbook will serve as a reference text to practicing engineers, teachers, students and researchers. It may also be used as a textbook for graduate-level courses in probabilistic structural mechanics. The editor wishes to thank the chapter authors for their contributions. This handbook would not have been a reality without their collaboration.

Handbook Of Radiotherapy Physics

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Author : P Mayles
language : en
Publisher: CRC Press
Release Date : 2007-06-12

Handbook Of Radiotherapy Physics written by P Mayles and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-06-12 with Medical categories.

From background physics and biological models to the latest imaging and treatment modalities, the Handbook of Radiotherapy Physics: Theory and Practice covers all theoretical and practical aspects of radiotherapy physics. In this comprehensive reference, each part focuses on a major area of radiotherapy, beginning with an introduction by the

Handbook Of Materials Modeling

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Author : Sidney Yip
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-11-17

Handbook Of Materials Modeling written by Sidney Yip and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-17 with Science categories.

The first reference of its kind in the rapidly emerging field of computational approachs to materials research, this is a compendium of perspective-providing and topical articles written to inform students and non-specialists of the current status and capabilities of modelling and simulation. From the standpoint of methodology, the development follows a multiscale approach with emphasis on electronic-structure, atomistic, and mesoscale methods, as well as mathematical analysis and rate processes. Basic models are treated across traditional disciplines, not only in the discussion of methods but also in chapters on crystal defects, microstructure, fluids, polymers and soft matter. Written by authors who are actively participating in the current development, this collection of 150 articles has the breadth and depth to be a major contributor toward defining the field of computational materials. In addition, there are 40 commentaries by highly respected researchers, presenting various views that should interest the future generations of the community. Subject Editors: Martin Bazant, MIT; Bruce Boghosian, Tufts University; Richard Catlow, Royal Institution; Long-Qing Chen, Pennsylvania State University; William Curtin, Brown University; Tomas Diaz de la Rubia, Lawrence Livermore National Laboratory; Nicolas Hadjiconstantinou, MIT; Mark F. Horstemeyer, Mississippi State University; Efthimios Kaxiras, Harvard University; L. Mahadevan, Harvard University; Dimitrios Maroudas, University of Massachusetts; Nicola Marzari, MIT; Horia Metiu, University of California Santa Barbara; Gregory C. Rutledge, MIT; David J. Srolovitz, Princeton University; Bernhardt L. Trout, MIT; Dieter Wolf, Argonne National Laboratory.

A Handbook Of Management Techniques

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Author : Michael Armstrong
language : en
Publisher: Kogan Page Publishers
Release Date : 2006-07-03

A Handbook Of Management Techniques written by Michael Armstrong and has been published by Kogan Page Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-03 with Business & Economics categories.

Now in its fourth edition, this bestselling guide to modern management techniques is the ideal companion for all managers, as well as an essential reference for business students. A Handbook of Management Techniques boasts over 100 systematic and analytical methods used by managers to assist in decision-making and to improve efficiency and effectiveness. The techniques contained in this weighty tome (over 700 pages) cover all fields of modern management. Diagrams support the text throughout and, as always, the acclaimed author, Michael Armstrong writes in an accessible and easy-to-read style.

Handbook In Monte Carlo Simulation

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