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Record Nr. |
UNINA9910792137903321 |
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Autore |
Wang Hui |
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Titolo |
Monte carlo simulation with applications to finance / / by Hui Wang |
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Pubbl/distr/stampa |
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Boca Raton, FL : , : Chapman and Hall/CRC, an imprint of Taylor and Francis, , 2012 |
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ISBN |
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0-429-09524-4 |
1-4398-5824-1 |
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Edizione |
[First edition.] |
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Descrizione fisica |
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1 online resource (291 p.) |
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Collana |
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Chapman and Hall/CRC Financial Mathematics Series |
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Classificazione |
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BUS027000MAT000000MAT029000 |
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Disciplina |
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Soggetti |
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Finance - Mathematical methods |
Monte Carlo method |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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. |
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