Monte Carlo Simulation with Applications to Finance

Monte Carlo Simulation with Applications to Finance

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  • Author: Hui Wang
  • Publisher: CRC Press
  • ISBN: 1439858241
  • Category : Business & Economics
  • Languages : en
  • Pages : 294

Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry. The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes. Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB® coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.


Stochastic Simulation and Applications in Finance with MATLAB Programs

Stochastic Simulation and Applications in Finance with MATLAB Programs

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  • Author: Huu Tue Huynh
  • Publisher: John Wiley & Sons
  • ISBN: 0470722134
  • Category : Business & Economics
  • Languages : en
  • Pages : 354

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.


Handbook in Monte Carlo Simulation

Handbook in Monte Carlo Simulation

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  • Author: Paolo Brandimarte
  • Publisher: John Wiley & Sons
  • ISBN: 1118594517
  • Category : Business & Economics
  • Languages : en
  • Pages : 620

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.


Simulation and Monte Carlo

Simulation and Monte Carlo

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  • Author: J. S. Dagpunar
  • Publisher: John Wiley & Sons
  • ISBN: 0470061340
  • Category : Mathematics
  • Languages : en
  • Pages : 348

Simulation and Monte Carlo is aimed at students studying for degrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, who wish an up-to-date account of the theory and practice of Simulation. Its distinguishing features are in-depth accounts of the theory of Simulation, including the important topic of variance reduction techniques, together with illustrative applications in Financial Mathematics, Markov chain Monte Carlo, and Discrete Event Simulation. Each chapter contains a good selection of exercises and solutions with an accompanying appendix comprising a Maple worksheet containing simulation procedures. The worksheets can also be downloaded from the web site supporting the book. This encourages readers to adopt a hands-on approach in the effective design of simulation experiments. Arising from a course taught at Edinburgh University over several years, the book will also appeal to practitioners working in the finance industry, statistics and operations research.


Monte Carlo Methods in Financial Engineering

Monte Carlo Methods in Financial Engineering

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  • Author: Paul Glasserman
  • Publisher: Springer Science & Business Media
  • ISBN: 0387216170
  • Category : Mathematics
  • Languages : en
  • Pages : 603

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis


Monte Carlo Methods and Models in Finance and Insurance

Monte Carlo Methods and Models in Finance and Insurance

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  • Author: Ralf Korn
  • Publisher: CRC Press
  • ISBN: 1420076191
  • Category : Business & Economics
  • Languages : en
  • Pages : 485

Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom


Monte Carlo Simulation and Finance

Monte Carlo Simulation and Finance

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  • Author: Don L. McLeish
  • Publisher: John Wiley & Sons
  • ISBN: 1118160940
  • Category : Business & Economics
  • Languages : en
  • Pages : 308

Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.


Applications of Monte Carlo Methods to Finance and Insurance

Applications of Monte Carlo Methods to Finance and Insurance

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  • Author: Thomas N. Herzog
  • Publisher: ACTEX Publications
  • ISBN: 1566984335
  • Category : Business & Economics
  • Languages : en
  • Pages : 276


Advanced Simulation-Based Methods for Optimal Stopping and Control

Advanced Simulation-Based Methods for Optimal Stopping and Control

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  • Author: Denis Belomestny
  • Publisher: Springer
  • ISBN: 1137033517
  • Category : Business & Economics
  • Languages : en
  • Pages : 366

This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some of the new, cutting edge approaches under development.


Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance

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  • Author: Masaaki Kijima
  • Publisher: CRC Press
  • ISBN: 1439884846
  • Category : Business & Economics
  • Languages : en
  • Pages : 345

Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools