Stochastic Simulation and Applications in Finance with MATLAB Programs (Hardcover)

Huu Tue Huynh

9 valutazioni di Goodreads

Lingua: inglese

Editore: John Wiley & Sons Inc, New York, 2008

0470725389 / 9780470725382

  • Prima edizione
  • Rilegato
  • Nuovo
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Venditore AbeBooks dal 29 giugno 2022

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Hardcover. 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 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. Stochastic Simulation and Applications in Finance with Matlab Programs begins by covering the basics of probability and statistics, which are essential to the understanding the later chapters on random processes and computational simulation techniques, it then goes on to discuss Monte Carlo simulations. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…

Codice articolo 9780470725382

Titolo
Stochastic Simulation and Applications in Finance with MATLAB Programs (Hardcover)
Autore
Huu Tue Huynh
Editore
John Wiley & Sons Inc, New York
Anno di pubblicazione
2008
Condizione
new
Rilegatura
Hardcover
Lingua
inglese
ISBN 10
0470725389
ISBN 13
9780470725382
Edizione
prima edizione

CitiRetail

Stevenage, Regno Unito

Venditore con 5 stelle

Venditore AbeBooks dal 29 giugno 2022

Tariffe di spedizione da Regno Unito a U.S.A.

ArticoloDa 7 a 14 giorni lavorativiDa 7 a 60 giorni lavorativi
Primo articoloEUR 43,71EUR 43,71
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