Simulation and Monte Carlo With applications in finance and MCMC

This book provides an introduction to the theory and practice of Monte Carlo andSimulation methods. It arises from a 20 hour course given simultaneously to two groupsof students. The first are final year Honours students in the School of Mathematics at theUniversity of Edinburgh and the second are students from Heriot Watt and EdinburghUniversities taking the MSc in Financial Mathematics.The intention is that this be a practical book that encourages readers to write andexperiment with actual simulation models. The choice of programming environment,Maple, may seem strange, perhaps even perverse. It arises from the fact that at Edinburghall mathematics students are...
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Simulation and Monte Carlo With applications in finance and MCMC