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 |
|