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Developed from the author's course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of option pricing, risk analysis, and sensitivity analysis as well as many hand-and-paper and MATLAB® coding exercises at the end of every chapter.
Developed from the author's course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of option pricing, risk analysis, and sensitivity analysis as well as many hand-and-paper and MATLAB® coding exercises at the end of every chapter.
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.
Review of Probability. Brownian Motion. Arbitrage Free Pricing. Monte Carlo Simulation. Generating Random Variables. Variance Reduction Techniques. Importance Sampling. Stochastic Calculus. Simulation of Diffusions. Sensitivity Analysis. Appendices. Bibliography. Index.
| Erscheinungsjahr: | 2019 |
|---|---|
| Fachbereich: | Werbung & Marketing |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| ISBN-13: | 9780367381356 |
| ISBN-10: | 0367381354 |
| Sprache: | Englisch |
| Einband: | Kartoniert / Broschiert |
| Autor: | Wang, Hui |
| Hersteller: | Chapman and Hall/CRC |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 234 x 156 x 16 mm |
| Von/Mit: | Hui Wang |
| Erscheinungsdatum: | 05.09.2019 |
| Gewicht: | 0,45 kg |
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.
Review of Probability. Brownian Motion. Arbitrage Free Pricing. Monte Carlo Simulation. Generating Random Variables. Variance Reduction Techniques. Importance Sampling. Stochastic Calculus. Simulation of Diffusions. Sensitivity Analysis. Appendices. Bibliography. Index.
| Erscheinungsjahr: | 2019 |
|---|---|
| Fachbereich: | Werbung & Marketing |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| ISBN-13: | 9780367381356 |
| ISBN-10: | 0367381354 |
| Sprache: | Englisch |
| Einband: | Kartoniert / Broschiert |
| Autor: | Wang, Hui |
| Hersteller: | Chapman and Hall/CRC |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 234 x 156 x 16 mm |
| Von/Mit: | Hui Wang |
| Erscheinungsdatum: | 05.09.2019 |
| Gewicht: | 0,45 kg |
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