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Monte Carlo Simulation with Applications to Finance,9781439858240
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Monte Carlo Simulation with Applications to Finance

by ;
Edition:
1st
ISBN13:

9781439858240

ISBN10:
1439858241
Format:
Hardcover
Pub. Date:
5/22/2012
Publisher(s):
Chapman & Hall
List Price: $83.95

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What version or edition is this?
This is the 1st edition with a publication date of 5/22/2012.
What is included with this book?
  • The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any CDs, lab manuals, study guides, etc.

Summary

Exploring the use of Monte Carlo simulation in finance, this text reviews the essential mathematics and presents simple financial models. Beginning with the basics of Monte Carlo, the author gradually introduces advanced variance reduction techniques, covering such topics as importance sampling and stratified sampling. He also discusses numerical approximation, option pricing, and sensitivity analysis. The text presents diffusion techniques for diffusion models, American options, and sensitivity analysis. It also contains various types of exercises, progressive MATLAB -based coding assignments, and computational projects.


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