9781439858240

Monte Carlo Simulation with Applications to Finance

by ;
  • ISBN13:

    9781439858240

  • ISBN10:

    1439858241

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 5/22/2012
  • Publisher: Chapman & Hall
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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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