# Stochastic Simulation and Applications in Finance with MATLAB Programs

## Huu Tue Huynh; Van Son Lai; Issouf Soumare

Valutazione media 4
( su 2 valutazioni fornite da Goodreads )

Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering.

The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks.   The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging.

NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Inside Flap:

This book is a good companion to text books on theory, so if you want to get straight to the meat of implementing the classical quantitative finance models here's the answer.

—Paul Wilmott, wilmott.com

This powerful book is a comprehensive guide for Monte Carlo methods in finance. Every quant knows that one of the biggest issues in finance is to well understand the mathematical framework in order to translate it in programming code. Look at the chapter on Quasi Monte Carlo or the paragraph on variance reduction techniques and you will see that Huu Tue Huynh, Van Son Lai and Issouf Soumaré have done a very good job in order to provide a bridge between the complex mathematics used in finance and the programming implementation. Because it adopts both theoretical and practical point of views with a lot of applications, because it treats about some sophisticated financial problems (like Brownian bridges, jump processes, exotic options pricing or Longstaff-Schwartz methods) and because it is easy to understand, this handbook is valuable for academics, students and financial engineers who want to learn the computational aspects of simulations in finance.

—Thierry Roncalli, Head of Investment Products and Strategies, SGAM Alternative Investments & Professor of Finance, University of Evry

HUU TUE HUYNH obtained his D.Sc. in communication theory from Laval University, Canada. From 1969 to 2004 he was a faculty member of Laval University. He left Laval University to become Chairman of the Department of data processing at the College of Technology of The Vietnam National University, Hanoi. Since 2007 he has been Rector of the Bac Ha International University, Vietnam. His main recent research interest covers Fast Monte Carlo methods and applications.

VAN SON LAI is Professor of Finance at the Business School of Laval University, Canada. He obtained his Ph.D. in Finance from the University of Georgia, USA and a master degree in water resources engineering from the University of British Columbia, Canada. He is also a CFA charterholder from the CFA Institute and a registered P.Eng. in the Province of British Columbia. An established teacher and researcher in banking, financial engineering, and risk management, he has extensively published in mainstream banking, economics, and finance journals.

ISSOUF SOUMARÉ is currently associate professor of finance and managing director of the Laboratory for Financial Engineering at Laval University. His research and teaching interests included risk management, financial engineering and numerical methods in finance. He has published his theoretical and applied finance works in economics and finance journals. Dr Soumaré holds a PhD in Finance from the University of British Columbia, Canada, MSc in Financial Engineering from Laval University, Canada, MSc in Statistics and Quantitative Economics and MSc and BSc in Applied Mathematics from Ivory Coast. He is also a certified Professional Risk Manager (PRM) of the Professional Risk Managers’ International Association (PRMIA).

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Compra nuovo Guarda l'articolo
EUR 71,79

Spese di spedizione: GRATIS
Da: Regno Unito a: U.S.A.

Destinazione, tempi e costi

Aggiungere al carrello

## 1.Stochastic Simulation and Applications in Finance with Matlab Programs (Hardback)

Editore: John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Rilegato Prima edizione Quantità: 1
Da
The Book Depository
(London, Regno Unito)
Valutazione libreria

Compra nuovo
EUR 71,79
Convertire valuta
Spese di spedizione: GRATIS
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

## 2.Stochastic Simulation and Applications in Finance with Matlab Programs (Hardback)

Editore: John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Rilegato Prima edizione Quantità: 1
Da
The Book Depository US
(London, Regno Unito)
Valutazione libreria

Compra nuovo
EUR 78,86
Convertire valuta
Spese di spedizione: GRATIS
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

## 3.Stochastic Simulation and Applications in Finance with MATLAB Programs

Editore: John Wiley and#38; Sons (2008)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Quantità: 5
Da
Books2Anywhere
(Fairford, GLOS, Regno Unito)
Valutazione libreria

Descrizione libro John Wiley and#38; Sons, 2008. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470725382

Compra nuovo
EUR 68,97
Convertire valuta
Spese di spedizione: EUR 10,17
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

## 4.Stochastic Simulation and Applications in Finance with MATLAB Programs (The Wiley Finance Series)

Editore: Wiley (2009)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Rilegato Quantità: 1
Da
Ergodebooks
(RICHMOND, TX, U.S.A.)
Valutazione libreria

Descrizione libro Wiley, 2009. Hardcover. Condizione libro: New. Codice libro della libreria SONG0470725389

Compra nuovo
EUR 78,24
Convertire valuta
Spese di spedizione: EUR 3,46
In U.S.A.
Destinazione, tempi e costi

## 5.Stochastic Simulation and Applications in Finance with MATLAB Programs

Editore: John Wiley and#38; Sons (2008)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Quantità: > 20
Print on Demand
Da
Pbshop
(Wood Dale, IL, U.S.A.)
Valutazione libreria

Descrizione libro John Wiley and#38; Sons, 2008. HRD. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IP-9780470725382

Compra nuovo
EUR 79,32
Convertire valuta
Spese di spedizione: EUR 3,46
In U.S.A.
Destinazione, tempi e costi

## 6.Stochastic Simulation and Applications in Finance with MATLAB Programs [With CDROM]

Editore: John Wiley & Sons (2016)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Paperback Quantità: 1
Print on Demand
Da
Ria Christie Collections
(Uxbridge, Regno Unito)
Valutazione libreria

Descrizione libro John Wiley & Sons, 2016. Paperback. Condizione libro: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Codice libro della libreria ria9780470725382_lsuk

Compra nuovo
EUR 78,42
Convertire valuta
Spese di spedizione: EUR 4,37
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

## 7.Stochastic Simulation and Applications in Finance with MATLAB Programs

Editore: John Wiley and#38; Sons (2008)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Quantità: > 20
Print on Demand
Da
Books2Anywhere
(Fairford, GLOS, Regno Unito)
Valutazione libreria

Descrizione libro John Wiley and#38; Sons, 2008. HRD. Condizione libro: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Codice libro della libreria IP-9780470725382

Compra nuovo
EUR 81,82
Convertire valuta
Spese di spedizione: EUR 10,18
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

## 8.Stochastic Simulation and Applications in Finance with MATLAB Programs (The Wiley Finance Series)

Editore: Wiley (2008)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Rilegato Quantità: 1
Da
Ergodebooks
(RICHMOND, TX, U.S.A.)
Valutazione libreria

Descrizione libro Wiley, 2008. Hardcover. Condizione libro: New. 1. Codice libro della libreria DADAX0470725389

Compra nuovo
EUR 89,80
Convertire valuta
Spese di spedizione: EUR 3,46
In U.S.A.
Destinazione, tempi e costi

## 9.Stochastic Simulation and Applications in Finance with MATLAB Programs

Editore: Wiley (2008)
ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Rilegato Quantità: 1
Da
Irish Booksellers
(Rumford, ME, U.S.A.)
Valutazione libreria

Descrizione libro Wiley, 2008. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470725389

Compra nuovo
EUR 98,47
Convertire valuta
Spese di spedizione: GRATIS
In U.S.A.
Destinazione, tempi e costi

## 10.Stochastic Simulation and Applications in Finance with MATLAB Programs

ISBN 10: 0470725389 ISBN 13: 9780470725382
Nuovi Rilegato Quantità: 10
Da
Herb Tandree Philosophy Books
(Stroud, GLOS, Regno Unito)
Valutazione libreria

Descrizione libro 2008. Hardback. Condizione libro: NEW. 9780470725382 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0770479

Compra nuovo
EUR 89,64
Convertire valuta
Spese di spedizione: EUR 9,04
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi