02582nam 2200589I 450 991046519270332120200520144314.00-429-09524-41-4398-5824-1(CKB)2560000000251405(EBL)1648155(SSID)ssj0001111089(PQKBManifestationID)11622341(PQKBTitleCode)TC0001111089(PQKBWorkID)11127140(PQKB)11736674(MiAaPQ)EBC1648155(Au-PeEL)EBL1648155(CaPaEBR)ebr11167489(OCoLC)890379378(OCoLC)859524146(EXLCZ)99256000000025140520180611d2012 uy 0engur|n|---|||||txtccrMonte carlo simulation with applications to finance /by Hui WangFirst edition.Boca Raton, FL :Chapman and Hall/CRC, an imprint of Taylor and Francis,2012.1 online resource (291 p.)Chapman and Hall/CRC Financial Mathematics SeriesDescription based upon print version of record.1-4665-6690-6 Includes bibliographical references.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; BibliographyDeveloped 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.Chapman & Hall/CRC financial mathematics series.FinanceMathematical methodsMonte Carlo methodElectronic books.FinanceMathematical methods.Monte Carlo method.332.01/518282Wang Hui426970FlBoTFGFlBoTFGBOOK9910465192703321Monte carlo simulation with applications to finance1974754UNINA