Articles liés à Monte Carlo Simulation with Applications to Finance

Monte Carlo Simulation with Applications to Finance - Couverture rigide

Livre 22 sur 71: Chapman and Hall/CRC Financial Mathematics

Wang, Hui

 
9781439858240: Monte Carlo Simulation with Applications to Finance
Couverture rigide
ISBN 10 : 1439858241 ISBN 13 : 9781439858240
Editeur : Chapman and Hall/CRC, 2012

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Chapman and Hall/CRC
Date d'édition
2012
Langue
anglais
ISBN 10 
1439858241
ISBN 13 
9781439858240
Reliure
Relié
Nombre de pages
282
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

Europaallee 1
Bad Hersfeld
36244
Allemagne