HOME > Detail View

Detail View

Monte Carlo simulation with applications to finance

Monte Carlo simulation with applications to finance (Loan 3 times)

Material type
단행본
Personal Author
Wang, Hui, 1976-.
Title Statement
Monte Carlo simulation with applications to finance / Hui Wang.
Publication, Distribution, etc
Boca Raton :   CRC Press,   2012.  
Physical Medium
282 p. : ill. ; 25 cm.
Series Statement
Chapman & Hall/CRC financial mathematics series
ISBN
9781439858240
요약
"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"--
Bibliography, Etc. Note
Includes bibliographical references (p. [277]-279) and index.
Subject Added Entry-Topical Term
Finance -- Mathematical methods. Monte Carlo method.
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

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.01 W246m Accession No. 111678250 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

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.


Information Provided By: : Aladin

New Arrivals Books in Related Fields