Name: Stochastic Simulation And Monte Carlo Methods Mathematical Foundations Of Stochastic Simulation
ISBN: 9783642393624

Book information

Authors: Carl Graham verified identity
First published: 2013
Editions known: 1
Publishers: Springer-Verlag Berlin and Heidelberg GmbH &
ISBN-13: 9783642393624
Main topics: Numerical Methods, Stochastic Calculus
Also covers: Quantitative Finance
Related site topics: Stochastic Control & Optimal Stopping

Overview

Stochastic Simulation And Monte Carlo Methods Mathematical Foundations Of Stochastic Simulation is a book by Carl Graham, first published in 2013. In this catalogue it is classified mainly under Numerical Methods and Stochastic Calculus, with secondary coverage of Quantitative Finance.

Audience and depth. The rule-based model places its mathematical difficulty at advanced level (8/10); readers are typically expected to know calculus, differential equations, linear algebra, numerical analysis, probability theory and stochastic processes.

Orientation. The metadata points to a theory-first treatment. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 95% and difficulty confidence is 97%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	66/100 confidence 95% Score 66.4/100. Strongest: quant_relevance 0.85, technical_depth 0.80; weakest: practical_applicability 0.12. Evidence: subjects:'quantitative finance'.
Mathematical difficulty	Advanced (8/10) confidence 97%
Prerequisites	calculus, differential equations, linear algebra, numerical analysis, probability theory, stochastic processes
Practical orientation	Theoretical
Metadata quality	98%

Difficulty evidence (8 signals)

brownian_martingale matched in ol_description: “martingale”
mathematical_rigor matched in ol_description: “rigorous”
monte_carlo matched in ol_description: “monte carlo”
monte_carlo matched in openalex_topics: “monte carlo”
monte_carlo matched in subjects: “monte carlo”
monte_carlo matched in title: “monte carlo”
numerical_methods matched in ol_description: “numerical methods”
numerical_methods matched in subjects: “numerical analysis”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

Application of Tensor Neural Networks to Pricing Bermudan Swaptions Topic similarity inferred similarity 0.45
Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis Topic similarity inferred similarity 0.45
Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model Methodological overlap inferred similarity 0.41
Multi-stage Euler-Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains Topic similarity inferred similarity 0.39
Fast simulation of Volterra processes using random Fourier features with application to the log-stationary fractional Brownian motion Methodological overlap inferred similarity 0.39
Pricing time-capped American options using Least Squares Monte Carlo method Methodological overlap inferred similarity 0.38

Methods covered

Simulation & Agent-Based Models inferred
Stochastic Calculus & Continuous-Time Models inferred

Similar books

Stochastic Differential Equations in Infinite Dimensions inferred similarity 0.78
Stochastic Calculus and Financial Applications inferred similarity 0.73
Monte Carlo and Quasi-Monte Carlo Methods 2006 inferred similarity 0.70
Option Theory with Stochastic Analysis inferred similarity 0.69
Monte Carlo and Quasi-Monte Carlo Methods 2002 inferred similarity 0.68

Author profiles

Carl Graham verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9783642393624) (search link; may be an affiliate link)

Relationship graph

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