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...
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Monte Carlo Methods and Models in Finance and Insurance
Monte Carlo Methods and Models in Finance and Insurance
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