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  1. Monte Carlo methods and models in finance and insurance
    Author: Korn, Ralf
    Published: c2010
    Publisher:  CRC Press/Taylor & Francis, Boca Raton, FL

    Offering a unique balance between applications and calculations, this book incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including... more

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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Universitätsbibliothek Kiel, Zentralbibliothek
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    Location:
    Hochschulbibliothek Friedensau
    Signature:
    Online-Ressource
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    Offering a unique balance between applications and calculations, this book incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Romberg method, and the Heath-Platen estimator, as well as recent financial and actuarial models, such as the Cheyette and dynamic mortality models. The book enables readers to find the right algorithm for a desired application and illustrates complicated methods and algorithms with simple applicat

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781420076189; 9781282902374
    Series: Chapman & Hall / CRC financial mathematics series
    Subjects: Monte Carlo method; Business mathematics; Insurance; Economics; Monte Carlo Method
    Scope: Online-Ressource (xiii, 470 p.), ill
    Notes:

    Includes bibliographical references (p. 441-457) and index

    Electronic reproduction; Available via World Wide Web

    Cover; Title; Copyright; Contents; List of Algorithms; Chapter 1: Introduction and User Guide; Chapter 2: Generating Random Numbers; Chapter 3: The Monte Carlo Method: Basic Principles; Chapter 4: Continuous-Time Stochastic Processes: Continuous Paths; Chapter 5: Simulating Financial Models: Continuous Paths; Chapter 6: Continuous-Time Stochastic Processes: Discontinuous Paths; Chapter 7: Simulating Financial Models: Discontinuous Paths; Chapter 8: Simulating Actuarial Models; References; Index
  2. Solutions manual to accompany simulation and the Monte Carlo method
    Published: 2008
    Publisher:  Wiley, Hoboken, NJ

    Location:
    Universitätsbibliothek Bielefeld
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    Unlimited inter-library loan, copies and loan
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  3. Solutions manual to accompany simulation and the Monte Carlo method
    Published: 2008
    Publisher:  Wiley, Hoboken, NJ

    Location:
    Universitätsbibliothek Bielefeld
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  4. Forecasting and estimating multiple change-point models with an unknown number of change points
    Published: Dec.2004
    Publisher:  Federal Reserve Bank of New York, New York, NY

    "This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    "This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter model with a change point every period and the change-point model with a small number of regimes. We focus on the construction of reasonable hierarchical priors both for regime durations and for the parameters that characterize each regime. A Markov Chain Monte Carlo posterior sampler is constructed to estimate a change-point model for conditional means and variances. We find that our techniques work well in an empirical exercise involving U.S. inflation and GDP growth. Empirical results suggest that the number of change points is larger than previously estimated in these series and the implied model is similar to a time-varying parameter model with stochastic volatility"--Federal Reserve Bank of New York web site

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/60650
    Edition: [Elektronische Ressource]
    Series: Staff reports / Federal Reserve Bank of New York ; 196
    Subjects: Strukturbruch; Prognoseverfahren; Markov-Kette; Schätzung; Bruttoinlandsprodukt; Inflation; USA; Statistische Verteilung; Economic forecasting; Point processes; Monte Carlo method
    Scope: Online Ressource, 33 p, text, ill
    Notes:

    Title from PDF file as viewed on 1/11/2005

    Includes bibliographical references

    Also available in print
  5. Using model selection algorthims to obtain reliable coefficient estimates
    Author: Castle, Jennifer; Qin, Xiaochuan; Reid, W. Robert
    Published: [2011]
    Publisher:  Dept. of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 92 (2011,3)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2011,03
    Subjects: Algorithmus; Modellierung; Portfolio-Management; Bayes-Statistik; Monte-Carlo-Simulation; Theorie; Regression analysis; Algorithms; Monte Carlo method; Economic forecasting
    Scope: Online-Ressource (49 p., 410,10 Kb), graph. Darst.
    Notes:

    Archived by the National Library of New Zealand

    Title from PDF t.p. (viewed on May 4, 2011)

    "Revised, 20 November 2010

    "JEL Categories: C52, C15

    "A revision of 'How to pick the best regression equation: a review and comparison of model selection algorithms' (Working paper number 09/13)

    Hypertext links contained in the archived instances of this title are non-functional

    Includes bibliographical references (p. 32-36)
  6. Robust calibration of the Libor market model and pricing of derivative products
    Author: Schätz, Dennis
    Published: 2011
    Publisher:  Universität Ulm. Fakultät für Mathematik und Wirtschaftswissenschaften, Ulm

    Location:
    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VSM
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Universität Ulm, Kommunikations- und Informationszentrum, Bibliotheksservices
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    UB Weimar
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    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Zinsstruktur; Modellierung; Robustes Verfahren; Zinsderivat; Optionspreistheorie; Theorie; LIBOR market model; Greeks; Derivative securities; Calibration; Monte Carlo method; Derivat <Wertpapier>; Robustheit
    Scope: Online-Ressource
    Notes:

    Zsfassung in dt. Sprache

    Ulm, Univ., Diss., 2011
  7. The PCSE estimator is good
    just not as good as you think
    Author: Reed, W. Robert; Webb, Rachel S.
    Published: [2010]
    Publisher:  Department of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, N.Z

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 92 (2010,53)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Rev.
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; 2010,53
    Subjects: Panel; Monte-Carlo-Simulation; Statistischer Fehler; Theorie; Panel analysis; Time-series analysis; Monte Carlo method
    Scope: Online-Ressource (29 p., 179 Kb), PDF file
    Notes:

    Archived by the National Library of New Zealand

    Title from PDF cover (viewed on Sept. 13, 2010)

    "Revised, 13 August 2010"--P.[i]

    Hypertext links contained in the archived instances of this title are non-functional

    Includes bibliographical references (p. 13)

    PCSE = Panel-Corrected Standard Error estimator
  8. Estimating standard errors for the Parks model
    can jackknifing help?
    Author: Reed, W. Robert; Webb, Rachel S.
    Published: [2009]
    Publisher:  Dept. of Economics and Finance, University of Canterbury, Christchurch, N.Z

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 92 (2009,18)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Department of Economics and Finance, University of Canterbury ; 2009,18
    Subjects: Panel; Schätztheorie; Statistischer Fehler; Theorie; Jackknife (Statistics); Monte Carlo method; Panel analysis
    Scope: Online-Ressource (11 p., 126 Kb), PDF file
    Notes:

    Archived by the National Library of New Zealand

    Title from PDF cover (viewed on Feb. 22, 2010)

    "November 15, 2009"--P.1

    Hypertext links contained in the archived instances of this title are non-functional

    Includes bibliographical references (p. 9)
  9. Monte Carlo methods and models in finance and insurance
    Author: Korn, Ralf; Korn, Elke; Kroisandt, Gerald
    Published: c2010
    Publisher:  CRC Press/Taylor & Francis, Boca Raton, FL

    Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It... more

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    Universitätsbibliothek Erfurt / Forschungsbibliothek Gotha, Universitätsbibliothek Erfurt
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    Universitätsbibliothek Erfurt / Forschungsbibliothek Gotha, Universitätsbibliothek Erfurt
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Karlsruher Institut für Technologie, KIT-Bibliothek
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    Universitätsbibliothek Kiel, Zentralbibliothek
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    Universitätsbibliothek Kiel, Zentralbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Hochschulbibliothek Friedensau
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    Online-Ressource
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    früher: EBS Universität für Wirtschaft und Recht, Learning Center, Standort Wiesbaden, Fachbibliothek Rechtswissenschaften
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    Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Romberg method, and the Heath-Platen estimator, as well as recent financial and actuarial models, such as the Cheyette and dynamic mortality models. The authors separately discuss Monte Carlo techniques, stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to apply the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of standard Monte Carlo tools and for a detailed focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for standard simulation and the simulation of stochastic processes with continuous and discontinuous paths. It also covers a wide selection of popular models in finance and insurance, from Black-Scholes to stochastic volatility to interest rate to dynamic mortality. Through its many numerical and graphical illustrations and simple, insightful examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in various financial situations. The intuitive presentation encourages readers to implement and further develop the simulation methods. Cover -- Title -- Copyright -- Contents -- List of Algorithms -- Chapter 1: Introduction and User Guide -- Chapter 2: Generating Random Numbers -- Chapter 3: The Monte Carlo Method: Basic Principles -- Chapter 4: Continuous-Time Stochastic Processes: Continuous Paths -- Chapter 5: Simulating Financial Models: Continuous Paths -- Chapter 6: Continuous-Time Stochastic Processes: Discontinuous Paths -- Chapter 7: Simulating Financial Models: Discontinuous Paths -- Chapter 8: Simulating Actuarial Models -- References -- Index.

     
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    Volltext (lizenzpflichtig)
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 1282902377; 9781420076196; 9781282902374; 9781420076189
    RVK Categories: SK 840
    Edition: Online-Ausg.
    Series: Chapman & Hall / CRC financial mathematics series
    Subjects: Monte Carlo method; Business mathematics; Insurance; Insurance; Business mathematics; Monte Carlo method; Economics; Monte Carlo Method
    Scope: Online-Ressource (1 online resource (xiii, 470 p.)), ill.
    Notes:

    Includes bibliographical references (p. 441-457) and index. - Description based on print version record

    Cover; Title; Copyright; Contents; List of Algorithms; Chapter 1: Introduction and User Guide; Chapter 2: Generating Random Numbers; Chapter 3: The Monte Carlo Method: Basic Principles; Chapter 4: Continuous-Time Stochastic Processes: Continuous Paths; Chapter 5: Simulating Financial Models: Continuous Paths; Chapter 6: Continuous-Time Stochastic Processes: Discontinuous Paths; Chapter 7: Simulating Financial Models: Discontinuous Paths; Chapter 8: Simulating Actuarial Models; References; Index
  10. Cost-effectiveness of one- and two-step incomplete and complete excavations
    Published: 2013
    Publisher:  Sage, Thousand Oaks

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Parent title: Sonderdruck aus: Journal of dental research, 2013;
    Edition: Online First Version of Record
    Subjects: dental caries; dental cavity preparation; health care economics; dental economics; Monte Carlo method; economic model
    Scope: Online-Ressource (9 S.), graph. Darst.