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Monte Carlo Methods and Models in Finance and Insurance

Monte Carlo methods are ubiquitous in applications in the finance and insurance industry. They are often the only accessible tool for financial engineers and actuaries when it comes to complicated price or risk computations, in particular for those that are based on many underlyings. However, as they tend to be slow, it is very important to have a big tool box for speeding them up or – equivalently – for increasing their accuracy. Further, recent years have seen a lot of developments in Monte Carlo methods with a high potential for success in applications. Some of them are highly specified (such as the Andersen algorithm in the Heston. | Ralf Korn Elke Korn and Gerald Kroisandt Monte Carlo Methods and Models in Finance and Insurance Chapman Hall CRC FINANCIAL MATHEMATICS SERIES Monte Carlo Methods and Models in Finance and Insurance CHAPMAN HALL CRC Financial Mathematics Series Aims and scope The field of financial mathematics forms an ever-expanding slice of the financial sector. This series aims to capture new developments and summarize what is known over the whole spectrum of this field. It will include a broad range of textbooks reference works and handbooks that are meant to appeal to both academics and practitioners. The inclusion of numerical code and concrete real-world examples is highly encouraged. Series Editors M.A.H. Dempster Dilip B. Madan Rama Cont Centre for Financial Robert H. Smith School Center for Financial Research of Business Engineering Judge Business School University of Maryland Columbia University University of Cambridge New York Published Titles American-Style Derivatives Valuation and Computation Jerome Detemple Analysis Geometry and Modeling in Finance Advanced Methods in Option Pricing Pierre Henry-Labordère Credit Risk Models Derivatives and Management Niklas Wagner Engineering BGM Alan Brace Financial Modelling with Jump Processes Rama Cont and Peter Tankov Interest Rate Modeling Theory and Practice Lixin Wu An Introduction to Credit Risk Modeling Christian Bluhm Ludger Overbeck and Christoph Wagner Introduction to Stochastic Calculus Applied to Finance Second Edition Damien Lamberton and Bernard Lapeyre Monte Carlo Methods and Models in Finance and Insurance Ralf Korn Elke Korn and Gerald Kroisandt Numerical Methods for Finance John A. D. Appleby David C. Edelman and John J. H. Miller Portfolio Optimization and Performance Analysis Jean-Luc Prigent Quantitative Fund Management M. A. H. Dempster Georg Pflug and Gautam Mitra Robust Libor Modelling and Pricing of Derivative Products John Schoenmakers Stochastic Financial Models Douglas Kennedy Structured Credit .