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.
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.
Monte Carlo Simulation with Applications to Finance
292
Monte Carlo Simulation with Applications to Finance
292Hardcover(New Edition)
Product Details
| ISBN-13: | 9781439858240 |
|---|---|
| Publisher: | Taylor & Francis |
| Publication date: | 05/22/2012 |
| Series: | Chapman and Hall/CRC Financial Mathematics Series , #24 |
| Edition description: | New Edition |
| Pages: | 292 |
| Product dimensions: | 6.30(w) x 9.30(h) x 1.00(d) |