Stochastic Simulation and Applications In Finance with MATLAB Programs

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9780470725382: Stochastic Simulation and Applications In Finance with MATLAB Programs

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. The book also includes an accompanying CD-ROM 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. "This book provides a very useful set of tools for those who are interested in the simulation method of asset pricing and its implementation with MatLab. It is pitched at just the right level for anyone who seeks to learn about this fascinating area of finance. The collection of specific topics thoughtfully selected by the authors, such as credit risk, loan guarantee and value-at-risk, is an additional nice feature, making it a great source of reference for researchers and practitioners. The book is a valuable contribution to the fast growing area of quantitative finance." -Tan Wang, Sauder School of Business, UBC " 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 Soumare 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

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Huu Tue Huynh; Van Son Lai; Issouf Soumare
Editore: Wiley (2009)
ISBN 10: 0470725389 ISBN 13: 9780470725382
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Descrizione libro Wiley, 2009. Hardcover. Condizione libro: New. Codice libro della libreria SONG0470725389

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Huu Tue Huynh, Van Son Lai, Issouf Soumare
Editore: John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10: 0470725389 ISBN 13: 9780470725382
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione libro: New. 1. Auflage. 246 x 168 mm. Language: English . Brand New Book. 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. The book also includes an accompanying CD-ROM 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. This book provides a very useful set of tools for those who are interested in the simulation method of asset pricing and its implementation with MatLab. It is pitched at just the right level for anyone who seeks to learn about this fascinating area of finance. The collection of specific topics thoughtfully selected by the authors, such as credit risk, loan guarantee and value-at-risk, is an additional nice feature, making it a great source of reference for researchers and practitioners. The book is a valuable contribution to the fast growing area of quantitative finance. -Tan Wang, Sauder School of Business, UBC 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, 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 Soumare 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. Codice libro della libreria AAH9780470725382

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Huu Tue Huynh, Van Son Lai, Issouf Soumare
Editore: John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10: 0470725389 ISBN 13: 9780470725382
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione libro: New. 1. Auflage. 246 x 168 mm. Language: English . Brand New Book. 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. The book also includes an accompanying CD-ROM 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. This book provides a very useful set of tools for those who are interested in the simulation method of asset pricing and its implementation with MatLab. It is pitched at just the right level for anyone who seeks to learn about this fascinating area of finance. The collection of specific topics thoughtfully selected by the authors, such as credit risk, loan guarantee and value-at-risk, is an additional nice feature, making it a great source of reference for researchers and practitioners. The book is a valuable contribution to the fast growing area of quantitative finance. -Tan Wang, Sauder School of Business, UBC 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, 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 Soumare 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. Codice libro della libreria AAH9780470725382

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Huynh, Huu Tue
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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

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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

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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

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Huu Tue Huynh, Van Son Lai, Issouf Soumare
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Descrizione libro Wiley, 2008. Hardcover. Condizione libro: New. 1. Codice libro della libreria DADAX0470725389

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Huu Tue Huynh; Issouf Soumare; Van Son Lai
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Descrizione libro Wiley, 2008. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470725389

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Huu Tue Huynh,Van Son Lai,Issouf Soumare
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Descrizione libro Wiley 2008-11-11, 2008. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-ING-00030155

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Huynh, Huu Tue, Lai, Van Son, Soumare, I
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Descrizione libro Wiley, 2017. Hardcover. Condizione libro: New. This item is printed on demand. Codice libro della libreria P110470725389

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