Monte Carlo Simulation with Applications to Finance

By:

Hui Wang

Format:

Hardback

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Description

Exploring the use of Monte Carlo simulation in finance, this text reviews the essential mathematics and presents simple financial models. Beginning with the basics of Monte Carlo, the author gradually introduces advanced variance reduction techniques, covering such topics as importance sampling and stratified sampling. He also discusses numerical approximation, option pricing, and sensitivity analysis. The text presents diffusion techniques for diffusion models, American options, and sensitivity analysis. It also contains various types of exercises, progressive MATLAB(R)-based coding assignments, and computational projects.

Author Biography:

Hui Wang is 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.

Release date Australia

May 22nd, 2012

Author

Hui Wang

Audience

Professional & Vocational

Pages

292

Dimensions

156x234x18

ISBN-13

9781439858240

Product ID

10364170

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