Stochastic Simulation and Applications in Finance with MATLAB Programs (PDF)
(Sprache: Englisch)
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...
Programs explains the fundamentals of Monte Carlo simulation
techniques, their use in the numerical resolution of stochastic
differential equations and their current applications in...
sofort als Download lieferbar
eBook (pdf)
71.99 €
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Stochastic Simulation and Applications in Finance with MATLAB Programs (PDF)“
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 href="http://www.wiley.com/go/huyhnstochastic">www.wiley.com/go/huyhnstochastic
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.
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 href="http://www.wiley.com/go/huyhnstochastic">www.wiley.com/go/huyhnstochastic
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.
Autoren-Porträt von Huu Tue Huynh, Van Son Lai, Issouf Soumare
HUU TUE HUYNH obtained his D.Sc. in communication theoryfrom Laval University, Canada. From 1969 to 2004 he was a faculty
member of Laval University. He left Laval University to become
Chairman of the Department of data processing at the College of
Technology of The Vietnam National University, Hanoi. Since 2007 he
has been Rector of the Bac Ha International University, Vietnam.
His main recent research interest covers Fast Monte Carlo methods
and applications.
VAN SON LAI is Professor of Finance at the Business
School of Laval University, Canada. He obtained his Ph.D. in
Finance from the University of Georgia, USA and a master degree in
water resources engineering from the University of British
Columbia, Canada. He is also a CFA charterholder from the CFA
Institute and a registered P.Eng. in the Province of British
Columbia. An established teacher and researcher in banking,
financial engineering, and risk management, he has extensively
published in mainstream banking, economics, and finance
journals.
ISSOUF SOUMARÉ is currently associate professor of
finance and managing director of the Laboratory for Financial
Engineering at Laval University. His research and teaching
interests included risk management, financial engineering and
numerical methods in finance. He has published his theoretical and
applied finance works in economics and finance journals. Dr
Soumaré holds a PhD in Finance from the University of British
Columbia, Canada, MSc in Financial Engineering from Laval
University, Canada, MSc in Statistics and Quantitative Economics
and MSc and BSc in Applied Mathematics from Ivory Coast. He is also
a certified Professional Risk Manager (PRM) of the Professional
Risk Managers' International Association (PRMIA).
Bibliographische Angaben
- Autoren: Huu Tue Huynh , Van Son Lai , Issouf Soumare
- 2011, 1. Auflage, 354 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470722134
- ISBN-13: 9780470722138
- Erscheinungsdatum: 21.11.2011
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 2.50 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.
Kommentar zu "Stochastic Simulation and Applications in Finance with MATLAB Programs"
0 Gebrauchte Artikel zu „Stochastic Simulation and Applications in Finance with MATLAB Programs“
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "Stochastic Simulation and Applications in Finance with MATLAB Programs".
Kommentar verfassen