| 000 | 02555camuu2200301 a 4500 | |
| 001 | 000045725406 | |
| 005 | 20121025151734 | |
| 008 | 121024s2012 flua b 001 0 eng | |
| 010 | ▼a 2012016086 | |
| 020 | ▼a 9781439858240 | |
| 035 | ▼a (KERIS)REF000016840446 | |
| 040 | ▼a DLC ▼c DLC ▼d 211009 | |
| 050 | 0 0 | ▼a HG106 ▼b .W35 2012 |
| 082 | 0 0 | ▼a 332.01/518282 ▼2 23 |
| 084 | ▼a 332.01 ▼2 DDCK | |
| 090 | ▼a 332.01 ▼b W246m | |
| 100 | 1 | ▼a Wang, Hui, ▼d 1976-. |
| 245 | 1 0 | ▼a Monte Carlo simulation with applications to finance / ▼c Hui Wang. |
| 260 | ▼a Boca Raton : ▼b CRC Press, ▼c 2012. | |
| 300 | ▼a 282 p. : ▼b ill. ; ▼c 25 cm. | |
| 490 | 1 | ▼a Chapman & Hall/CRC financial mathematics series |
| 504 | ▼a Includes bibliographical references (p. [277]-279) and index. | |
| 520 | ▼a "Preface This book can serve as the text for a one-semester course on Monte Carlo simulation. The intended audience is advanced undergraduate students or students on master's programs who wish to learn the basics of this exciting topic and its applications to finance. The book is largely self-contained. The only prerequisite is some experience with probability and statistics. Prior knowledge on option pricing is helpful but not essential. As in any study of Monte Carlo simulation, coding is an integral part and cannot be ignored. The book contains a large number of MATLAB coding exercises. They are designed in a progressive manner so that no prior experience with MATLAB is required. Much of the mathematics in the book is informal. For example, randomvariables are simply defined to be functions on the sample space, even though they should be measurable with respect to appropriate algebras; exchanging the order of integrations is carried out liberally, even though it should be justified by the Tonelli-Fubini Theorem. The motivation for doing so is to avoid the technical measure theoretic jargon, which is of little concern in practice and does not help much to further the understanding of the topic. The book is an extension of the lecture notes that I have developed for an undergraduate course on Monte Carlo simulation at Brown University. I would like to thank the students who have taken the course, as well as the Division of Applied Mathematics at Brown, for their support. Hui Wang Providence, Rhode Island January, 2012"-- ▼c Provided by publisher. | |
| 650 | 0 | ▼a Finance ▼x Mathematical methods. |
| 650 | 0 | ▼a Monte Carlo method. |
| 830 | 0 | ▼a Chapman & Hall/CRC financial mathematics series. |
| 945 | ▼a KLPA |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 중앙도서관/서고6층/ | 청구기호 332.01 W246m | 등록번호 111678250 | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
목차
Review of Probability Probability SpaceIndependence and Conditional ProbabilityRandom VariablesRandom VectorsConditional DistributionsConditional ExpectationClassical Limit Theorems Brownian Motion Brownian MotionRunning Maximum of Brownian Motion Derivatives and Black?Scholes PricesMultidimensional Brownian Motions Arbitrage Free PricingArbitrage Free PrincipleAsset Pricing with Binomial TreesThe Black?Scholes Model Monte Carlo SimulationBasics of Monte Carlo Simulation Standard Error and Confidence Interval Examples of Monte Carlo Simulation Summary Generating Random VariablesInverse Transform MethodAcceptance-Rejection MethodSampling from Multivariate Normal Distributions Variance Reduction TechniquesAntithetic SamplingControl VariatesStratified Sampling Importance SamplingBasic Ideas of Importance SamplingThe Cross-Entropy Method Applications to Risk Analysis Stochastic Calculus Stochastic IntegralsIto FormulaStochastic Differential EquationsRisk-Neutral Pricing Black?Scholes Equation Simulation of DiffusionsEuler SchemeEliminating Discretization ErrorRefinements of Euler SchemeThe Lamperti TransformNumerical Examples Sensitivity AnalysisCommonly Used GreeksMonte Carlo Simulation of Greeks Appendix A: Multivariate Normal DistributionsAppendix B: American Option PricingAppendix C: Option Pricing Formulas Bibliography Index Exercises appear at the end of each chapter.
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