Peter Jackel,
P Jackel
Monte Carlo Methods in Finance
Gebonden Engels 2002 9780471497417
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available.
The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.
Specificaties
ISBN13:9780471497417
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:238
Uitgever:John Wiley & Sons
Hoofdrubriek:Financieel management, Financieel management
Serie:The Wiley Finance Series
Lezersrecensies
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Inhoudsopgave
Preface
<br />
<br /> Acknowledgements
<br />
<br /> Mathematical Notation
<br />
<br /> Introduction
<br />
<br /> The Mathematics Behind Monte Carlo Methods
<br />
<br /> Stochastic Dynamics
<br />
<br /> Process–driven Sampling
<br />
<br /> Correlation and Co–movement
<br />
<br /> Salvaging a Linear Correlation Matrix
<br />
<br /> Pseudo–random Numbers
<br />
<br /> Low–discrepancy Numbers
<br />
<br /> Non–uniform Variates
<br />
<br /> Variance Reduction Techniques
<br />
<br /> Greeks
<br />
<br /> Monte Carlo in the BGM/J Framework
<br />
<br /> Non–recombining Trees
<br />
<br /> Miscellanea
<br />
<br /> Bibliography
<br />
<br /> Index
<br />
<br /> Acknowledgements
<br />
<br /> Mathematical Notation
<br />
<br /> Introduction
<br />
<br /> The Mathematics Behind Monte Carlo Methods
<br />
<br /> Stochastic Dynamics
<br />
<br /> Process–driven Sampling
<br />
<br /> Correlation and Co–movement
<br />
<br /> Salvaging a Linear Correlation Matrix
<br />
<br /> Pseudo–random Numbers
<br />
<br /> Low–discrepancy Numbers
<br />
<br /> Non–uniform Variates
<br />
<br /> Variance Reduction Techniques
<br />
<br /> Greeks
<br />
<br /> Monte Carlo in the BGM/J Framework
<br />
<br /> Non–recombining Trees
<br />
<br /> Miscellanea
<br />
<br /> Bibliography
<br />
<br /> Index
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