Monte Carlo Simulation with Applications to Finance
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- Synopsis
- 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.
- Copyright:
- 2012
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9781040182314
- Related ISBNs:
- 9780429095245, 9781439858240, 9781466566903, 9780367381356, 9781439858257
- Publisher:
- CRC Press
- Date of Addition:
- 11/08/24
- Copyrighted By:
- Taylor & Francis Group, LLC
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.