Monte Carlo Simulation with Applications to Finance

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Características del artículo

Estado
En buen estado: Libro que se ha leído pero que está en buen estado. Daños mínimos en la tapa, ...
Genre
Finance
ISBN
9781439858240
Categoría

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Product Identifiers

Publisher
CRC Press LLC
ISBN-10
1439858241
ISBN-13
9781439858240
eBay Product ID (ePID)
92945847

Product Key Features

Number of Pages
292 Pages
Publication Name
Monte Carlo Simulation with Applications to Finance
Language
English
Publication Year
2012
Subject
Probability & Statistics / Stochastic Processes, Finance / General, Probability & Statistics / General, General
Type
Textbook
Subject Area
Mathematics, Business & Economics
Author
Hui Wang
Format
Hardcover

Dimensions

Item Height
0.9 in
Item Weight
24.8 Oz
Item Length
9.4 in
Item Width
6.4 in

Additional Product Features

Intended Audience
Scholarly & Professional
LCCN
2012-016086
Dewey Edition
23
Reviews
"I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." e" INFORMS Journal on Computing , 25(1), 2013, "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." -- INFORMS Journal on Computing , 25(1), 2013 "... is suitable for the practitioner in search of a hands-on approach to the topic, as well as the student/researcher who wants to have a quick way to know what simulation techniques (in particular for pricing derivatives) are about." --Gunther Leobacher, Mathematical Reviews Clippings December 2013, "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." -- INFORMS Journal on Computing , 25(1), 2013, "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." - INFORMS Journal on Computing , 25(1), 2013, "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." 'e" INFORMS Journal on Computing , 25(1), 2013
Illustrated
Yes
Dewey Decimal
332.01/518282
Table Of Content
Review of Probability. Brownian Motion. Arbitrage Free Pricing. Monte Carlo Simulation. Generating Random Variables. Variance Reduction Techniques. Importance Sampling. Stochastic Calculus. Simulation of Diffusions. Sensitivity Analysis. Appendices. Bibliography. Index.
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., 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., 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(R) coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.
LC Classification Number
HG106

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