Monte Carlo Simulation with Applications to Finance
Author:   Hui Wang
Publisher:   Taylor & Francis Ltd
ISBN:  

9780367381356


Pages:   292
Publication Date:   05 September 2019
Format:   Paperback
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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Monte Carlo Simulation with Applications to Finance


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Author:   Hui Wang
Publisher:   Taylor & Francis Ltd
Imprint:   Chapman & Hall/CRC
Weight:   0.408kg
ISBN:  

9780367381356


ISBN 10:   0367381354
Pages:   292
Publication Date:   05 September 2019
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

Review of Probability. Brownian Motion. Arbitrage Free Pricing. Monte Carlo Simulation. Generating Random Variables. Variance Reduction Techniques. Importance Sampling. Stochastic Calculus. Simulation of Diffusions. Sensitivity Analysis. Appendices. Bibliography. Index.

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Author Information

Hui Wang is an associate professor in the Division of Applied Mathematics at Brown University. He earned a Ph.D. in statistics from Columbia University. His research and teaching cover Monte Carlo simulation, mathematical finance, probability and statistics, and stochastic optimization.

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