Monte Carlo Simulation with Applications to Finance - Couverture souple

Wang, Hui

Couverture souple

ISBN 10 : 0367381354 ISBN 13 : 9780367381356

Editeur : Routledge, 2019

Synopsis

Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry.

The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes.

Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB^® coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.

A propos du livre

À propos de l'auteur

Hui Wang is an associate professor in the Division of Applied Mathematics at Brown University. He earned a Ph.D. in statistics from Columbia University. His research and teaching cover Monte Carlo simulation, mathematical finance, probability and statistics, and stochastic optimization.

À propos de la quatrième de couverture

Developed from the author's course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of option pricing, risk analysis, and sensitivity analysis as well as many hand-and-paper and MATLAB® coding exercises at the end of every chapter.

Détails de l'édition

• Éditeur: Routledge
• Date d'édition: 2019
• Langue: anglais
• ISBN 10: 0367381354
• ISBN 13: 9780367381356
• Reliure: Broché
• Nombre de pages: 282
• Coordonnées du fabricant: non disponible
• Personne responsable: gpsr@libri.de; gpsr@libri.de; ; Europaallee 1; Bad Hersfeld; 36244; Allemagne