Monte Carlo Simulation with Applications to Finance

Description: Monte Carlo Simulation with Applications to Finance. Monte Carlo Simulation with Applications to Finance (Chapman & Hall/CRC Financial Mathematics) Product Description Developed from the authors course on Monte Carlo simulation at Brown University,Monte Carlo Simulation with Applications to Financeprovides 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. The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes. Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLABcoding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed. Review "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 About the Author Hui Wangis an associate professor in the Division of Applied Mathematics at Brown University. He earned a Ph.D. in statistics from Columbia University. His research and teaching cover Monte Carlo simulation, mathematical finance, probability and statistics, and stochastic optimization.

Price: 60 USD

Location: Fort Lauderdale, Florida

End Time: 2024-12-05T00:00:20.000Z

Shipping Cost: 6.88 USD