? This book would be immensely useful for any practitioner seekingto learn more about this field, as well as for lecturers seeking areliable and informative text.? ( Significance, September2009) „The book does a nice job of discussing, developing, andpresenting the mathematical aspects of random processes, randomnumber generation, and Markov chain Monte Carlo (MCMC) methods. Iparticularly like the notation used and the depth of proofsoffered; they are technically correct, well organized, and nicelypresented.“ (Journal of the American StatisticalAssociation, June 2008) ? Dagpunar presents a textbook based on 20-hour courses hehas taught for advanced students of mathematics and students offinancial mathematics.? (SciTech Book Reviews, June2007) "? excellent for students and practitioners who don't haveprevious experience with simulation methods? a great contribution."(MAA Reviews, April 5, 2007)

Simulation and Monte Carlo

With Applications in Finance and MCMC

von J. S. Dagpunar

Simulation and Monte Carlo is aimed at students studying fordegrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, whowish an up-to-date account of the theory and practice ofSimulation. Its distinguishing features are in-depth accounts ofthe theory of Simulation, including the important topic of variancereduction techniques, together with illustrative applications inFinancial Mathematics, Markov chain Monte Carlo, and Discrete EventSimulation. Each chapter contains a good selection of exercises andsolutions with an accompanying appendix comprising a Mapleworksheet containing simulation procedures. The worksheets can alsobe downloaded from the web site supporting the book. Thisencourages readers to adopt a hands-on approach in the effectivedesign of simulation experiments.
Arising from a course taught at Edinburgh University overseveral years, the book will also appeal to practitioners workingin the finance industry, statistics and operations research.