Monte Carlo simulation with applications to finance. (2012)

• Record Type: Book
• Further Information: Note: Hui Wang.
• Other Names: Wang, Hui, 1976-
• Contents: Review of Probability; Probability Space; Independence and Conditional Probability; Random Variables; Random Vectors; Conditional Distributions; Conditional Expectation; Classical Limit Theorems Brownian Motion ; Brownian Motion; Running Maximum of Brownian Motion; Derivatives and Black–Scholes Prices; Multidimensional Brownian Motions Arbitrage Free Pricing ; Arbitrage Free Principle; Asset Pricing with Binomial Trees; The Black–Scholes Model Monte Carlo Simulation ; Basics of Monte Carlo Simulation; Standard Error and Confidence Interval; Examples of Monte Carlo Simulation; Summary Generating Random Variables ; Inverse Transform Method; Acceptance-Rejection Method; Sampling from Multivariate Normal Distributions Variance Reduction Techniques ; Antithetic Sampling; Control Variates; Stratified Sampling Importance Sampling ; Basic Ideas of Importance Sampling; The Cross-Entropy Method; Applications to Risk Analysis Stochastic Calculus ; Stochastic Integrals; Itô Formula; Stochastic Differential Equations; Risk-Neutral Pricing; Black–Scholes Equation Simulation of Diffusions ; Euler Scheme; Eliminating Discretization Error; Refinements of Euler Scheme; The Lamperti Transform; Numerical Examples Sensitivity Analysis ; Commonly Used Greeks; Monte Carlo Simulation of Greeks Appendix A: Multivariate Normal Distributions; Appendix B: American Option Pricing; Appendix C: Option Pricing Formulas Bibliography Index Exercises appear at the end of each chapter.
• Publisher Details: Place of publication not identified : Chapman and Hall/CRC
• Publication Date: 2012
• Extent: 1 online resource, illustrations
• Subjects: 332.01518282; Finance -- Mathematical methods; Monte Carlo method; BUSINESS & ECONOMICS / Finance; MATHEMATICS / General; MATHEMATICS / Probability & Statistics / General
• Languages: English
• ISBNs: 9781466566903; 1466566906
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.