Vai al contenuto principale della pagina
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 |