Monte Carlo Methods and Models in Finance and Insurance

DOI10.1201/9781420076196zbMath1196.91006OpenAlexW1254831770MaRDI QIDQ5305333

Ralf Korn, Gerald Kroisandt, Elke Korn

Publication date: 22 March 2010

Full work available at URL: https://doi.org/10.1201/9781420076196

zbMATH Keywords

random numbersactuarial models and their simulationsMonte Carlo principlesstochastic processes with continuous and discontinuous path and their simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02)

Related Items (26)

On the Valuation of Discrete Asian Options in High Volatility Environments ⋮ Valuation and risk assessment of participating life insurance in the presence of credit risk ⋮ Efficient evaluation of alternative reinsurance strategies using control variates ⋮ Stochastic covariance and dimension reduction in the pricing of basket options ⋮ A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model ⋮ OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP ⋮ ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO ⋮ On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity ⋮ Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing ⋮ On risk measuring in the variance-gamma model ⋮ Applications of the central limit theorem for pricing cliquet-style options ⋮ Time-consistent actuarial valuations ⋮ MLMC for Nested Expectations ⋮ A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes ⋮ A New Approach for American Option Pricing: The Dynamic Chebyshev Method ⋮ Strongly constrained stochastic processes: the multi-ends Brownian bridge ⋮ Pricing barrier options in the Heston model using the Heath-Platen estimator ⋮ Central limit theorem for the multilevel Monte Carlo Euler method ⋮ A New Variance Reduction Technique for Estimating Value-at-Risk ⋮ A discrete optimality system for an optimal harvesting problem ⋮ Optimal control of electricity input given an uncertain demand ⋮ A health insurance pricing model based on prevalence rates: application to critical illness insurance ⋮ Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications ⋮ Hedging insurance books ⋮ A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion ⋮ Efficient Monte Carlo option pricing under CEV model

Uses Software

• WinBUGS
• MersenneTwister
• TOMS659

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