UID:
almahu_9948197731902882
Umfang:
1 online resource (xvi, 338 pages) :
,
illustrations
ISBN:
9781118467374
,
111846737X
,
9780470722138
,
0470722134
Inhalt:
"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 also includes an accompanying CD-ROM 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."--Jacket.
Anmerkung:
Front Matter -- Introduction to Probability -- Introduction to Random Variables -- Random Sequences -- Introduction to Computer Simulation of Random Variables -- Foundations of Monte Carlo Simulations -- Fundamentals of Quasi Monte Carlo (QMC) Simulations -- Introduction to Random Processes -- Solution of Stochastic Differential Equations -- General Approach to the Valuation of Contingent Claims -- Pricing Options using Monte Carlo Simulations -- Term Structure of Interest Rates and Interest Rate Derivatives -- Credit Risk and the Valuation of Corporate Securities -- Valuation of Portfolios of Financial Guarantees -- Risk Management and Value at Risk (VaR) -- Value at Risk (VaR) and Principal Components Analysis (PCA) -- Appendix A: Review of Mathematics -- Appendix B: MATLAB Functions -- References and Bibliography -- Index.
,
1. Introduction to probability -- 2. Introduction to random variables -- 3. Random sequences -- 4. Introduction to computer simulation of random variables -- 5. Foundations of Monte Carlo simulations -- 6. Fundamentals of quasi Monte Carlo (QMC) simulations -- 7. Introduction to random processes -- 8. Solution of stochastic differential equations -- 9. General approach to the valuation of contingent claims -- 10. Pricing options using Monte Carlo simulations -- 11. Term structure of interest rates and interest rate derivatives -- 12. Credit risk and the valuation of corporate securities -- 13. Valuation of portfolios of financial guarantees -- 14. Risk management and value at risk (VaR) -- 15. Value at risk (VaR) and principal components analysis (PCA) -- App. A. Review of mathematics -- App. B. MATLAB functions.
Weitere Ausg.:
Print version: Huynh, Huu Tue. Stochastic simulation and applications in finance with MATLAB programs. Chichester, England ; Hoboken, NJ : John Wiley & Sons, ©2008 ISBN 9780470725382
Sprache:
Englisch
Fachgebiete:
Informatik
,
Wirtschaftswissenschaften
Schlagwort(e):
Electronic books.
DOI:
10.1002/9781118467374
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118467374
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