{"product_id":"simulation-and-monte-carlo-9780470854945","title":"Simulation and Monte Carlo","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\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.  \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 th\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\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\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\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","brand":"Wiley","offers":[{"title":"Default Title","offer_id":51455984730455,"sku":"9780470854945","price":105.26,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470854945.jpg?v=1755033322","url":"https:\/\/bookcurl.com\/products\/simulation-and-monte-carlo-9780470854945","provider":"Book Curl","version":"1.0","type":"link"}