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Monte Carlo Simulation with Applications to Finance
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Located in: Crystal Lake, Illinois, United States
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Estimated between Wed, 26 Nov and Thu, 4 Dec to 94104
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About this item
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eBay item number:267452616903
Item specifics
- Condition
- Genre
- Finance
- ISBN
- 9781439858240
About this product
Product Identifiers
Publisher
CRC Press LLC
ISBN-10
1439858241
ISBN-13
9781439858240
eBay Product ID (ePID)
92945847
Product Key Features
Number of Pages
292 Pages
Publication Name
Monte Carlo Simulation with Applications to Finance
Language
English
Publication Year
2012
Subject
Probability & Statistics / Stochastic Processes, Finance / General, Probability & Statistics / General, General
Type
Textbook
Subject Area
Mathematics, Business & Economics
Format
Hardcover
Dimensions
Item Height
0.9 in
Item Weight
24.8 Oz
Item Length
9.4 in
Item Width
6.4 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2012-016086
Dewey Edition
23
Reviews
"I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." e" INFORMS Journal on Computing , 25(1), 2013, "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." -- INFORMS Journal on Computing , 25(1), 2013 "... is suitable for the practitioner in search of a hands-on approach to the topic, as well as the student/researcher who wants to have a quick way to know what simulation techniques (in particular for pricing derivatives) are about." --Gunther Leobacher, Mathematical Reviews Clippings December 2013, "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." -- INFORMS Journal on Computing , 25(1), 2013, "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." - INFORMS Journal on Computing , 25(1), 2013, "I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me." 'e" INFORMS Journal on Computing , 25(1), 2013
Illustrated
Yes
Dewey Decimal
332.01/518282
Table Of Content
Review of Probability. Brownian Motion. Arbitrage Free Pricing. Monte Carlo Simulation. Generating Random Variables. Variance Reduction Techniques. Importance Sampling. Stochastic Calculus. Simulation of Diffusions. Sensitivity Analysis. Appendices. Bibliography. Index.
Synopsis
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., Developed from the author's course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of option pricing, risk analysis, and sensitivity analysis as well as many hand-and-paper and MATLAB® coding exercises at the end of every chapter., 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(R) coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.
LC Classification Number
HG106
Item description from the seller
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- r***a (662)- Feedback left by buyer.Past 6 monthsVerified purchaseThe Blu-Ray disc arrived in excellent condition as described with great packaging. Shipping was prompt and reliable, ensuring a quick delivery. The artwork and cover design met my expectations, enhancing the overall appeal. The disc was flawless, with no scratches or blemishes, making the purchase feel special. Overall, the value from this seller was outstanding, and I highly recommend them for anyone seeking quality products and dependable service. This purchase truly exceeded my expectations!Ash Is Purest White (Blu-ray, 2018) (#267125467351)
Seller feedback (9,153)
- 5***i (2794)- Feedback left by buyer.Past 6 monthsVerified purchaseI RECEIVED THE DVD AND IT WAS AS STATED IN THE DESCRIPTION. IT WAS OF HIGH QUALITY, GOOD CONDITION. THEY KEPT THE COST OF SHIPPING DOWN AND MADE SURE THE PACKING WAS ENOUGH TO KEEP THE ITENS SAFE AND SECURE. THE VALUE WAS GREAT. THE APPEARANCE WAS AS GOOD AS IT WAS DISCRIPTION - VERY NICE WOULD KEEP IT FROM GETTING DAMAGED. I WILL SHOP WITH THIS SELLER AGAIN. A+++++++++++
- 4***4 (988)- Feedback left by buyer.Past monthVerified purchaseGot a good deal on a rare Elvis Presley EP, good service, and fast shipping. The 2 of the record’s corners had creases in them , but the seller gave me a partial refund when I contacted them about it. I highly recommend this seller and would gladly buy from them again if I ever get the chance!
- r***a (662)- Feedback left by buyer.Past 6 monthsVerified purchaseThe Blu-Ray disc arrived in excellent condition as described with great packaging. Shipping was prompt and reliable, ensuring a quick delivery. The artwork and cover design met my expectations, enhancing the overall appeal. The disc was flawless, with no scratches or blemishes, making the purchase feel special. Overall, the value from this seller was outstanding, and I highly recommend them for anyone seeking quality products and dependable service. This purchase truly exceeded my expectations!Ash Is Purest White (Blu-ray, 2018) (#267125467351)