Stochastic Simulation and Applications in Finance with MATLAB Programs

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9780470725382: Stochastic Simulation and Applications in Finance with MATLAB Programs

Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. The book also includes an accompanying CD-ROM which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance. "This book provides a very useful set of tools for those who are interested in the simulation method of asset pricing and its implementation with MatLab. It is pitched at just the right level for anyone who seeks to learn about this fascinating area of finance. The collection of specific topics thoughtfully selected by the authors, such as credit risk, loan guarantee and value-at-risk, is an additional nice feature, making it a great source of reference for researchers and practitioners. The book is a valuable contribution to the fast growing area of quantitative finance." -Tan

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Biographie de l'auteur :

HUU TUE HUYNH obtained his D.Sc. in communication theory from Laval University, Canada. From 1969 to 2004 he was a faculty member of Laval University. He left Laval University to become Chairman of the Department of data processing at the College of Technology of The Vietnam National University, Hanoi. Since 2007 he has been Rector of the Bac Ha International University, Vietnam. His main recent research interest covers Fast Monte Carlo methods and applications.

VAN SON LAI is Professor of Finance at the Business School of Laval University, Canada. He obtained his Ph.D. in Finance from the University of Georgia, USA and a master degree in water resources engineering from the University of British Columbia, Canada. He is also a CFA charterholder from the CFA Institute and a registered P.Eng. in the Province of British Columbia. An established teacher and researcher in banking, financial engineering, and risk management, he has extensively published in mainstream banking, economics, and finance journals.

ISSOUF SOUMARÉ is currently associate professor of finance and managing director of the Laboratory for Financial Engineering at Laval University. His research and teaching interests included risk management, financial engineering and numerical methods in finance. He has published his theoretical and applied finance works in economics and finance journals. Dr Soumaré holds a PhD in Finance from the University of British Columbia, Canada, MSc in Financial Engineering from Laval University, Canada, MSc in Statistics and Quantitative Economics and MSc and BSc in Applied Mathematics from Ivory Coast. He is also a certified Professional Risk Manager (PRM) of the Professional Risk Managers International Association (PRMIA).

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1.

Huu Tue Huynh; Issouf Soumare; Van Son Lai
Edité par John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10 : 0470725389 ISBN 13 : 9780470725382
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Description du livre John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. État : New. 1. Auflage. 246 x 168 mm. Language: English . Brand New Book. Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. The book also includes an accompanying CD-ROM which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance. This book provides a very useful set of tools for those who are interested in the simulation method of asset pricing and its implementation with MatLab. It is pitched at just the right level for anyone who seeks to learn about this fascinating area of finance. The collection of specific topics thoughtfully selected by the authors, such as credit risk, loan guarantee and value-at-risk, is an additional nice feature, making it a great source of reference for researchers and practitioners. The book is a valuable contribution to the fast growing area of quantitative finance. -Tan Wang, Sauder School of Business, UBC This book is a good companion to text books on theory, so if you want to get straight to the meat of implementing the classical quantitative finance models here s the answer. -Paul Wilmott, This powerful book is a comprehensive guide for Monte Carlo methods in finance. Every quant knows that one of the biggest issues in finance is to well understand the mathematical framework in order to translate it in programming code. Look at the chapter on Quasi Monte Carlo or the paragraph on variance reduction techniques and you will see that Huu Tue Huynh, Van Son Lai and Issouf Soumare have done a very good job in order to provide a bridge between the complex mathematics used in finance and the programming implementation. Because it adopts both theoretical and practical point of views with a lot of applications, because it treats about some sophisticated financial problems (like Brownian bridges, jump processes, exotic options pricing or Longstaff-Schwartz methods) and because it is easy to understand, this handbook is valuable for academics, students and financial engineers who want to learn the computational aspects of simulations in finance. -Thierry Roncalli, Head of Investment Products and Strategies, SGAM Alternative Investments Professor of Finance, University of Evry. N° de réf. du libraire AAH9780470725382

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Huu Tue Huynh; Issouf Soumare; Van Son Lai
Edité par John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10 : 0470725389 ISBN 13 : 9780470725382
Neuf(s) Couverture rigide Edition originale Quantité : 1
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Description du livre John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. État : New. 1. Auflage. 246 x 168 mm. Language: English . Brand New Book. Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. The book also includes an accompanying CD-ROM which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance. This book provides a very useful set of tools for those who are interested in the simulation method of asset pricing and its implementation with MatLab. It is pitched at just the right level for anyone who seeks to learn about this fascinating area of finance. The collection of specific topics thoughtfully selected by the authors, such as credit risk, loan guarantee and value-at-risk, is an additional nice feature, making it a great source of reference for researchers and practitioners. The book is a valuable contribution to the fast growing area of quantitative finance. -Tan Wang, Sauder School of Business, UBC This book is a good companion to text books on theory, so if you want to get straight to the meat of implementing the classical quantitative finance models here s the answer. -Paul Wilmott, This powerful book is a comprehensive guide for Monte Carlo methods in finance. Every quant knows that one of the biggest issues in finance is to well understand the mathematical framework in order to translate it in programming code. Look at the chapter on Quasi Monte Carlo or the paragraph on variance reduction techniques and you will see that Huu Tue Huynh, Van Son Lai and Issouf Soumare have done a very good job in order to provide a bridge between the complex mathematics used in finance and the programming implementation. Because it adopts both theoretical and practical point of views with a lot of applications, because it treats about some sophisticated financial problems (like Brownian bridges, jump processes, exotic options pricing or Longstaff-Schwartz methods) and because it is easy to understand, this handbook is valuable for academics, students and financial engineers who want to learn the computational aspects of simulations in finance. -Thierry Roncalli, Head of Investment Products and Strategies, SGAM Alternative Investments Professor of Finance, University of Evry. N° de réf. du libraire AAH9780470725382

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Description du livre 2008. Hardback. État : NEW. 9780470725382 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. N° de réf. du libraire HTANDREE0770479

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Huu Tue Huynh; Issouf Soumare; Van Son Lai
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Description du livre Wiley 2008-11-11, 2008. État : New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. N° de réf. du libraire NU-ING-00030155

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Huu Tue Huynh; Issouf Soumare; Van Son Lai
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Description du livre Wiley, 2008. État : New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: ContentsPreface1 Introduction to Probability1.1 Intuitive Explanation1.2 Axiomatic Definition2 Introduction to Random Variables2.1 Random Variables2.2 Random Vectors2.3 Transformation of Random Variables2.4 Transformation of Random Vectors2.5 Approximation of the Standard Normal Cumulative Distribution Function3 Random Sequences3.1 Sum of Independent Random Variables3.2 Law of Large Numbers3.3 Central Limit Theorem3.4 Convergence of Sequences of Random Variables4 Introduction to Computer Simulation of Random Variables4.1 Uniform Random Variable Generator4.2 Generating Discrete Random Variables4.3 Simulation of Continuous Random Variables4.4 Simulation of Random Vectors4.5 Acceptance-Rejection Method4.6 Markov Chain Monte Carlo Method (MCMC)5 Foundations of Monte Carlo Simulations5.1 Basic Idea5.2 Introduction to the Concept of Precision5.3 Quality of Monte Carlo Simulations Results5.4 Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques5.5 Application Cases of Random Variables Simulations6 Fundamentals of Quasi Monte Carlo (QMC) Simulations6.1 Van Der Corput Sequence (Basic Sequence)6.2 Halton Sequence6.3 Faure Sequence6.4 Sobol Sequence6.5 Latin Hypercube Sampling6.6 Comparison of the Different Sequences7 Introduction to Random Processes7.1 Characterization7.2 Notion of Continuity, Differentiability and Integrability7.3 Examples of Random Processes8 Solution of Stochastic Differential Equations8.1 Introduction to Stochastic Calculus8.2 Introduction to Stochastic Differential Equations8.3 Introduction to Stochastic Processes with Jump8.4 Numerical Solutions of some Stochastic Differential Equations (SDE)8.5 Application case: Generation of a Stochastic Differential Equation using the Euler and Milstein Schemes8.6 Application Case: Simulation of a Stochastic Differential Equation with Control and Antithetic Variables8.7 Application Case: Generation of a Stochastic Differential Equation with Jumps9 General Approach to the Valuation of Contingent Claims9.1 The Cox, Ross and Rubinstein (1979) Binomial Model of Option Pricing9.2 Black and Scholes (1973) and Merton (1973) Option Pricing Model9.3 Derivation of the Black-Scholes Formula using the Risk-Neutral Valuation Principle10 Pricing Options using Monte Carlo Simulations10.1 Plain Vanilla Options: European put and Call10.2 American options10.3 Asian options10.4 Barrier options10.5 Estimation Methods for the Sensitivity Coefficients or Greeks11 Term Structure of Interest Rates and Interest Rate Derivatives11.1 General Approach and the Vasicek (1977) Model11.2 The General Equilibrium Approach: The Cox, Ingersoll and Ross (CIR, 1985) model11.3 The Affine Model of the Term Structure11.4 Market Models12 Credit Risk and the Valuation of Corporate Securities12.1 Valuation of Corporate Risky Debts: The Merton (197. N° de réf. du libraire ABE_book_new_0470725389

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Huu Tue Huynh; Issouf Soumare; Van Son Lai
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ISBN 10 : 0470725389 ISBN 13 : 9780470725382
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Description du livre Wiley, 2008. Hardcover. État : New. 1. N° de réf. du libraire DADAX0470725389

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Huu Tue Huynh; Issouf Soumare; Van Son Lai
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ISBN 10 : 0470725389 ISBN 13 : 9780470725382
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