Limit search to available items
Book Cover
Book
Author McLeish, D. L.

Title Monte Carlo simulation and finance / Don L. McLeish
Published Hoboken, NJ : John Wiley & Sons, [2005]
©2005

Copies

Location Call no. Vol. Availability
 MELB  332.65401518 Mcl/Mcs  AVAILABLE
Description xi, 387 pages : illustrations ; 24 cm
Series Wiley finance series
Wiley finance series.
Contents Some basic theory of finance -- Basic Monte Carlo methods -- Variance reduction techniques -- Simulating the value of options -- Quasi-Monte Carlo multiple integration -- Estimation and calibration -- Sensitivity analysis, estimating derivatives and the Greeks -- Other methods and conclusions
Summary "Monte Carlo Simulation and Finance provides financial engineers, researchers, and students with today's most detailed and application-based examination of Monte Carlo modeling techniques. It is filled with valuable insights and methodologies for formulating the problem at hand; setting specific objectives; choosing and implementing the most applicable model; determining parameters; running the simulation; and documenting results and conclusions in light of the simulation results." "Monte Carlo Simulation and Finance is an essential reference for anyone, professional or academic, looking to design and implement accurate models for securities pricing and risk management. Further theoretical and mathematical information supporting the concepts discussed throughout this book also appear in an online appendix."--BOOK JACKET
Notes Formerly CIP. Uk
Bibliography Includes bibliographical references (pages 375-381) and index
Subject Monte Carlo method.
Options (Finance)
Financial futures.
LC no. 2004025812
ISBN 9780471677789 cloth/website
0471677787 cloth/website
Other Titles Simulation and finance