Monte Carlo Methods and Models in Finance and Insurance

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Monte Carlo simulation is a universal tool that can be applied in nearly every area of financial and actuarial modeling if one fully understands simulation. This book introduces financial and actuarial models via mathematical simulation. It gives a rigorous introduction to Monte Carlo simulation, including random number generation, basic methods, convergence, and variance reduction. The authors describe financial and actuarial models and show how simulation techniques can be applied to these models to solve problems in finance, including option pricing, derivatives pricing, risk, and asset liability management.