Monte Carlo Simulation with Applications to Finance.

"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.

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Year of publication:	2012 ; 1st ed.
Authors:	Wang, Hui
Publisher:	London : Chapman and Hall/CRC
Subject:	Monte-Carlo-Simulation \| Monte Carlo simulation \| Simulation \| Theorie \| Theory
Description of contents:	Description [zbmath.org]

Extent:	1 online resource (291 pages)
Series:	Chapman and Hall/CRC Financial Mathematics Ser. Chapman and Hall/CRC Financial Mathematics Series
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based on publisher supplied metadata and other sources. Front Cover; Preface; Contents; 1. Review of Probability; 2. Brownian Motion; 3. Arbitrage Free Pricing; 4. Monte Carlo Simulation; 5. Generating Random Variables; 6. Variance Reduction Techniques; 7. Importance Sampling; 8. Stochastic Calculus; 9. Simulation of Diffusions; 10. Sensitivity Analysis; A. Multivariate Normal Distributions; B. American Option Pricing; C. Option Pricing Formulas; Bibliography
ISBN:	978-1-4665-6690-3 ; 978-1-4398-5824-0
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012690151