Description: Further DetailsTitle: Stochastic Simulation and Applications in Finance with MATLAB ProgramsCondition: NewAuthor: Huu Tue Huynh, Van Son Lai, Issouf SoumareFormat: HardbackEAN: 9780470725382ISBN: 9780470725382Publisher: John Wiley & Sons IncGenre: Business & FinanceRelease Date: 11/11/2008Description: 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 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.Language: EnglishCountry/Region of Manufacture: USItem Height: 249mmItem Length: 180mmItem Width: 25mmItem Weight: 806gBook Series: Wiley Finance SeriesRelease Year: 2008 Missing Information?Please contact us if any details are missing and where possible we will add the information to our listing.
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Book Title: Stochastic Simulation and Applications in Finance with MATLAB Pro
Title: Stochastic Simulation and Applications in Finance with MATLAB Pro
EAN: 9780470725382
ISBN: 9780470725382
Genre: Business & Finance
Release Date: 11/11/2008
Release Year: 2008
Country/Region of Manufacture: US
Number of Pages: 360 Pages
Publication Name: Stochastic Simulation and Applications in Finance with Matlab Programs
Language: English
Publisher: Wiley & Sons, Incorporated, John
Item Height: 1 in
Subject: Finance / Financial Risk Management, Finance / Financial Engineering, Probability & Statistics / Stochastic Processes, Mathematical & Statistical Software, Computer Simulation, Finance / General
Publication Year: 2008
Item Weight: 26.1 Oz
Type: Textbook
Item Length: 9.9 in
Author: Huu Tue Huynh, Issouf Soumare, Van Son Lai
Subject Area: Mathematics, Computers, Business & Economics
Series: The Wiley Finance Ser.
Item Width: 6.9 in
Format: Hardcover
