Monte carlo simulation with applications to finance / by Hui Wang.

Format:

Book

Author/Creator:

Wang, Hui, author.

Series:

Chapman & Hall/CRC financial mathematics series.

Chapman and Hall/CRC Financial Mathematics Series

Language:

English

Subjects (All):

Finance--Mathematical methods.

Finance.

Monte Carlo method.

Physical Description:

1 online resource (291 p.)

Edition:

First edition.

Place of Publication:

Boca Raton, FL : Chapman and Hall/CRC, an imprint of Taylor and Francis, 2012.

Language Note:

English

Summary:

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.

Contents:

Front Cover; Preface; Contents; 1. Review of Probability; 2. Brownian Motion; 3. Arbitrage Free Pricing; 4. Monte Carlo Simulation; 5. Generating Random Variables; 6. Variance Reduction Techniques; 7. Importance Sampling; 8. Stochastic Calculus; 9. Simulation of Diffusions; 10. Sensitivity Analysis; A. Multivariate Normal Distributions; B. American Option Pricing; C. Option Pricing Formulas; Bibliography

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

0-429-09524-4

1-4398-5824-1

9780429095245

OCLC:

890379378