Monte Carlo Simulation with Applications to Finance.Series: Chapman and Hall/CRC Financial Mathematics SerPublisher: London : CRC Press LLC, 2012Copyright date: ©2012Edition: 1st edDescription: 1 online resource (291 pages)Content type:
- online resource
- HG106 .W35 2015
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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.