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Monte Carlo Simulation with Applications to Finance

Monte Carlo Simulation with Applications to Finance

Hui Wang

342,21 €
IVA incluido
Consulta disponibilidad
Editorial:
Taylor & Francis Ltd
Año de edición:
2012
Materia
Matemáticas
ISBN:
9781439858240

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Sobre IBD

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.

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