Monte carlo simulation with applications to finance / / by Hui Wang
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| Autore: |
Wang Hui
|
| Titolo: |
Monte carlo simulation with applications to finance / / by Hui Wang
|
| 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 | |
| Soggetto genere / forma: | Electronic books. |
| 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 |
| ISBN: | 0-429-09524-4 |
| 1-4398-5824-1 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910465192703321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Chapman & Hall/CRC financial mathematics series.