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AUTOMATIC NONUNIFORM RANDOM VARIATE GENERATION IBD

SPRINGER
10 / 2003
9783540406525
Inglés

Sinopsis

The recent concept of universal (also called automatic or black-box) random variate generation can only be foundádispersed in the literature. Being unique in its overall organization, the book covers not only the mathematical and statistical theory but also deals with the implementation of such methods. All algorithms introduced in the book are designed for practical use in simulation and have been coded and made available by the authors. Examples of possible applications of the presented algorithms (including option pricing, VaR and Bayesian statistics) are presented at the end of the book.

PVP
131,78