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Monte Carlo Simulation with Applications to Finance
Hardcover
Investing & FinanceProbability & Statistics
ISBN13: 9781439858240
Publisher: CRC Press
Published: May 30 2012
Pages: 292
Weight: 1.30
Height: 0.69 Width: 6.14 Depth: 9.21
Language: English
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(R) coding exercises at the end of every chapter.
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