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



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Autore: Wang Hui Visualizza persona
Titolo: Monte carlo simulation with applications to finance / / by Hui Wang Visualizza cluster
Pubblicazione: Boca Raton, FL : , : Chapman and Hall/CRC, an imprint of Taylor and Francis, , 2012
Edizione: First edition.
Descrizione fisica: 1 online resource (291 p.)
Disciplina: 332.01/518282
Soggetto topico: Finance - Mathematical methods
Monte Carlo method
Classificazione: BUS027000MAT000000MAT029000
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: 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
Sommario/riassunto: 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.
Titolo autorizzato: Monte carlo simulation with applications to finance  Visualizza cluster
ISBN: 0-429-09524-4
1-4398-5824-1
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910792137903321
Lo trovi qui: Univ. Federico II
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Serie: Chapman & Hall/CRC financial mathematics series.