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Other titles in the Chapman & Hall/CRC Financial Mathematics series:
Monte Carlo Simulation with Applications to Finance (Chapman & Hall/CRC Financial Mathematics)by Hui Wang
Synopses & Reviews
Developed from the author 's course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry.
The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes.
Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.
Exploring the use of Monte Carlo simulation in finance, this text reviews the essential mathematics and presents simple financial models. Beginning with the basics of Monte Carlo, the author gradually introduces advanced variance reduction techniques, covering such topics as importance sampling and stratified sampling. He also discusses numerical approximation, option pricing, and sensitivity analysis. The text presents diffusion techniques for diffusion models, American options, and sensitivity analysis. It also contains various types of exercises, progressive MATLAB -based coding assignments, and computational projects.
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Business » Accounting and Finance