Introduction To The Monte Carlo Method
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Introducing Monte Carlo Methods With R
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Author : Christian Robert
language : en
Publisher: Springer Science & Business Media
Release Date : 2010
Introducing Monte Carlo Methods With R written by Christian Robert 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 2010 with Computers categories.
This book covers the main tools used in statistical simulation from a programmer’s point of view, explaining the R implementation of each simulation technique and providing the output for better understanding and comparison.
Introduction To The Monte Carlo Method
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Author : István Manno
language : en
Publisher: Akademiai Kiads
Release Date : 1999
Introduction To The Monte Carlo Method written by István Manno and has been published by Akademiai Kiads this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Mathematics categories.
Monte Carlo Simulation In Statistical Physics
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Author : Kurt Binder
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-08-17
Monte Carlo Simulation In Statistical Physics written by Kurt Binder 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 2010-08-17 with Science categories.
Monte Carlo Simulation in Statistical Physics deals with the computer simulation of many-body systems in condensed-matter physics and related fields of physics, chemistry and beyond, to traffic flows, stock market fluctuations, etc.). Using random numbers generated by a computer, probability distributions are calculated, allowing the estimation of the thermodynamic properties of various systems. This book describes the theoretical background to several variants of these Monte Carlo methodsand gives a systematic presentation from which newcomers can learn to perform such simulations and to analyze their results. The fifth edition covers Classical as well as Quantum Monte Carlo methods. Furthermore a new chapter on the sampling of free energy landscapes has been added. To help students in their work a special web server has been installed to host programs and discussion groups (http://wwwcp.tphys.uni-heidelberg.de). Prof. Binder was the winner of the Berni J. Alder CECAM Award for Computational Physics 2001 as well as the Boltzmann Medal in 2007.
Computational Physics An Introduction To Monte Carlo Simulations Of Matrix Field Theory
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Author : Badis Ydri
language : en
Publisher: World Scientific
Release Date : 2017-02-07
Computational Physics An Introduction To Monte Carlo Simulations Of Matrix Field Theory written by Badis Ydri and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-02-07 with Science categories.
This book is divided into two parts. In the first part we give an elementary introduction to computational physics consisting of 21 simulations which originated from a formal course of lectures and laboratory simulations delivered since 2010 to physics students at Annaba University. The second part is much more advanced and deals with the problem of how to set up working Monte Carlo simulations of matrix field theories which involve finite dimensional matrix regularizations of noncommutative and fuzzy field theories, fuzzy spaces and matrix geometry. The study of matrix field theory in its own right has also become very important to the proper understanding of all noncommutative, fuzzy and matrix phenomena. The second part, which consists of 9 simulations, was delivered informally to doctoral students who were working on various problems in matrix field theory. Sample codes as well as sample key solutions are also provided for convenience and completeness.
An Introduction To Sequential Monte Carlo
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Author : Nicolas Chopin
language : en
Publisher: Springer Nature
Release Date : 2020-10-01
An Introduction To Sequential Monte Carlo written by Nicolas Chopin and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-01 with Mathematics categories.
This book provides a general introduction to Sequential Monte Carlo (SMC) methods, also known as particle filters. These methods have become a staple for the sequential analysis of data in such diverse fields as signal processing, epidemiology, machine learning, population ecology, quantitative finance, and robotics. The coverage is comprehensive, ranging from the underlying theory to computational implementation, methodology, and diverse applications in various areas of science. This is achieved by describing SMC algorithms as particular cases of a general framework, which involves concepts such as Feynman-Kac distributions, and tools such as importance sampling and resampling. This general framework is used consistently throughout the book. Extensive coverage is provided on sequential learning (filtering, smoothing) of state-space (hidden Markov) models, as this remains an important application of SMC methods. More recent applications, such as parameter estimation of these models (through e.g. particle Markov chain Monte Carlo techniques) and the simulation of challenging probability distributions (in e.g. Bayesian inference or rare-event problems), are also discussed. The book may be used either as a graduate text on Sequential Monte Carlo methods and state-space modeling, or as a general reference work on the area. Each chapter includes a set of exercises for self-study, a comprehensive bibliography, and a “Python corner,” which discusses the practical implementation of the methods covered. In addition, the book comes with an open source Python library, which implements all the algorithms described in the book, and contains all the programs that were used to perform the numerical experiments.
Introduction To Monte Carlo Methods For Transport And Diffusion Equations
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Author : Bernard Lapeyre
language : en
Publisher: Oxford University Press, USA
Release Date : 2003
Introduction To Monte Carlo Methods For Transport And Diffusion Equations written by Bernard Lapeyre and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Language Arts & Disciplines categories.
This text is used by for the resolution of partial differential equations, trasnport equations, the Boltzmann equation and the parabolic equations of diffusion.
Corporate Valuation
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Author : Mario Massari
language : en
Publisher: John Wiley & Sons
Release Date : 2016-07-15
Corporate Valuation written by Mario Massari 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 2016-07-15 with Business & Economics categories.
Risk consideration is central to more accurate post-crisis valuation Corporate Valuation presents the most up-to-date tools and techniques for more accurate valuation in a highly volatile, globalized, and risky business environment. This insightful guide takes a multidisciplinary approach, considering both accounting and financial principles, with a practical focus that uses case studies and numerical examples to illustrate major concepts. Readers are walked through a map of the valuation approaches proven most effective post-crisis, with explicit guidance toward implementation and enhancement using advanced tools, while exploring new models, techniques, and perspectives on the new meaning of value. Risk centrality and scenario analysis are major themes among the techniques covered, and the companion website provides relevant spreadsheets, models, and instructor materials. Business is now done in a faster, more diverse, more interconnected environment, making valuation an increasingly more complex endeavor. New types of risks and competition are shaping operations and finance, redefining the importance of managing uncertainty as the key to success. This book brings that perspective to bear in valuation, providing new insight, new models, and practical techniques for the modern finance industry. Gain a new understanding of the idea of "value," from both accounting and financial perspectives Learn new valuation models and techniques, including scenario-based valuation, the Monte Carlo analysis, and other advanced tools Understand valuation multiples as adjusted for risk and cycle, and the decomposition of deal multiples Examine the approach to valuation for rights issues and hybrid securities, and more Traditional valuation models are inaccurate in that they hinge on the idea of ensured success and only minor adjustments to forecasts. These rules no longer apply, and accurate valuation demands a shift in the paradigm. Corporate Valuation describes that shift, and how it translates to more accurate methods.
An Introduction To Value At Risk
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Author : Moorad Choudhry
language : en
Publisher: John Wiley & Sons
Release Date : 2007-01-11
An Introduction To Value At Risk written by Moorad Choudhry 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 2007-01-11 with Business & Economics categories.
The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth edition of Professor Moorad Choudhry’s benchmark reference text An Introduction to Value-at-Risk offers an accessible and reader-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a whole. Topics covered include: Defining value-at-risk Variance-covariance methodology Monte Carlo simulation Portfolio VaR Credit risk and credit VaR Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. Related issues such as statistics, volatility and correlation are also introduced as necessary background for students and practitioners. This is essential reading for all those who require an introduction to financial market risk management and value-at-risk.
Introduction To Bayesian Estimation And Copula Models Of Dependence
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Author : Arkady Shemyakin
language : en
Publisher: John Wiley & Sons
Release Date : 2017-03-20
Introduction To Bayesian Estimation And Copula Models Of Dependence written by Arkady Shemyakin 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 2017-03-20 with Mathematics categories.
Presents an introduction to Bayesian statistics, presents an emphasis on Bayesian methods (prior and posterior), Bayes estimation, prediction, MCMC,Bayesian regression, and Bayesian analysis of statistical modelsof dependence, and features a focus on copulas for risk management Introduction to Bayesian Estimation and Copula Models of Dependence emphasizes the applications of Bayesian analysis to copula modeling and equips readers with the tools needed to implement the procedures of Bayesian estimation in copula models of dependence. This book is structured in two parts: the first four chapters serve as a general introduction to Bayesian statistics with a clear emphasis on parametric estimation and the following four chapters stress statistical models of dependence with a focus of copulas. A review of the main concepts is discussed along with the basics of Bayesian statistics including prior information and experimental data, prior and posterior distributions, with an emphasis on Bayesian parametric estimation. The basic mathematical background of both Markov chains and Monte Carlo integration and simulation is also provided. The authors discuss statistical models of dependence with a focus on copulas and present a brief survey of pre-copula dependence models. The main definitions and notations of copula models are summarized followed by discussions of real-world cases that address particular risk management problems. In addition, this book includes: • Practical examples of copulas in use including within the Basel Accord II documents that regulate the world banking system as well as examples of Bayesian methods within current FDA recommendations • Step-by-step procedures of multivariate data analysis and copula modeling, allowing readers to gain insight for their own applied research and studies • Separate reference lists within each chapter and end-of-the-chapter exercises within Chapters 2 through 8 • A companion website containing appendices: data files and demo files in Microsoft® Office Excel®, basic code in R, and selected exercise solutions Introduction to Bayesian Estimation and Copula Models of Dependence is a reference and resource for statisticians who need to learn formal Bayesian analysis as well as professionals within analytical and risk management departments of banks and insurance companies who are involved in quantitative analysis and forecasting. This book can also be used as a textbook for upper-undergraduate and graduate-level courses in Bayesian statistics and analysis. ARKADY SHEMYAKIN, PhD, is Professor in the Department of Mathematics and Director of the Statistics Program at the University of St. Thomas. A member of the American Statistical Association and the International Society for Bayesian Analysis, Dr. Shemyakin's research interests include informationtheory, Bayesian methods of parametric estimation, and copula models in actuarial mathematics, finance, and engineering. ALEXANDER KNIAZEV, PhD, is Associate Professor and Head of the Department of Mathematics at Astrakhan State University in Russia. Dr. Kniazev's research interests include representation theory of Lie algebras and finite groups, mathematical statistics, econometrics, and financial mathematics.
Financial Modeling Fifth Edition
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Author : Simon Benninga
language : en
Publisher: MIT Press
Release Date : 2022-02-08
Financial Modeling Fifth Edition written by Simon Benninga and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-08 with Business & Economics categories.
A substantially updated new edition of the essential text on financial modeling, with revised material, new data, and implementations shown in Excel, R, and Python. Financial Modeling has become the gold-standard text in its field, an essential guide for students, researchers, and practitioners that provides the computational tools needed for modeling finance fundamentals. This fifth edition has been substantially updated but maintains the straightforward, hands-on approach, with an optimal mix of explanation and implementation, that made the previous editions so popular. Using detailed Excel spreadsheets, it explains basic and advanced models in the areas of corporate finance, portfolio management, options, and bonds. This new edition offers revised material on valuation, second-order and third-order Greeks for options, value at risk (VaR), Monte Carlo methods, and implementation in R. The examples and implementation use up-to-date and relevant data. Parts I to V cover corporate finance topics, bond and yield curve models, portfolio theory, options and derivatives, and Monte Carlo methods and their implementation in finance. Parts VI and VII treat technical topics, with part VI covering Excel and R issues and part VII (now on the book’s auxiliary website) covering Excel’s programming language, Visual Basic for Applications (VBA), and Python implementations. Knowledge of technical chapters on VBA and R is not necessary for understanding the material in the first five parts. The book is suitable for use in advanced finance classes that emphasize the need to combine modeling skills with a deeper knowledge of the underlying financial models.