Amazon cover image
Image from Amazon.com

Monte Carlo Simulation with Applications to Finance.

By: Series: Chapman and Hall/CRC Financial Mathematics SerPublisher: London : CRC Press LLC, 2012Copyright date: ©2012Edition: 1st edDescription: 1 online resource (291 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781466566903
Subject(s): Genre/Form: Additional physical formats: Print version:: Monte Carlo Simulation with Applications to FinanceDDC classification:
  • 332.01/518282
LOC classification:
  • HG106 .W35 2015
Online resources:
Contents:
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.
Summary: "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me."-INFORMS Journal on Computing, 25(1), 2013"… is suitable for the practitioner in search of a hands-on approach to the topic, as well as the student/researcher who wants to have a quick way to know what simulation techniques (in particular for pricing derivatives) are about."-Gunther Leobacher, Mathematical Reviews Clippings December 2013.
Holdings
Item type Current library Call number Status Date due Barcode Item holds
Ebrary Ebrary Afghanistan Available EBKAF00091767
Ebrary Ebrary Algeria Available
Ebrary Ebrary Cyprus Available
Ebrary Ebrary Egypt Available
Ebrary Ebrary Libya Available
Ebrary Ebrary Morocco Available
Ebrary Ebrary Nepal Available EBKNP00091767
Ebrary Ebrary Sudan Available
Ebrary Ebrary Tunisia Available
Total holds: 0

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.

"I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me."-INFORMS Journal on Computing, 25(1), 2013"… is suitable for the practitioner in search of a hands-on approach to the topic, as well as the student/researcher who wants to have a quick way to know what simulation techniques (in particular for pricing derivatives) are about."-Gunther Leobacher, Mathematical Reviews Clippings December 2013.

Description based on publisher supplied metadata and other sources.

Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2019. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

There are no comments on this title.

to post a comment.