Monte Carlo Simulation Essentials: Statistical Methods for Building Simulation Models | Data Analysis, Risk Assessment & Financial Modeling

This book fills a missing gap in the spectrum of Monte Carlo texts. At one extreme you have the works of Kelton and Law (and the like) which, while excellent, are encyclopedic in their approach and targeted to advanced students. At the other you have softer, more pedestrian introductions aimed at individuals with little or no background in the field. This book falls in between.I should note that I took a PhD level course in Monte Carlo methods from the author while he was on the faculty of the Illinois Institute of Technology. While our official text was Kelton and Law, this book reads like my course notes - a succinct and utterly relevant distillation of the main points of Kelton and Law. Of course, there is also plenty of unique material that make the book worthwhile in its own right.Finally, this book is extremely practical - it's for those who actually want to do Monte Carlo. It's not program or language specific (it won't tell you anything about how to use @RISK) but gives you all the necessary algorithms in the form of pseudo-code to utilize them in any programming language. It is an absolutely invaluable tool to have on hand when you are struggling with modeling problems.