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

9781439858240


Pages:   292
Publication Date:   22 May 2012
Format:   Hardback
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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Full Product Details

Author:   Hui Wang
Publisher:   Taylor & Francis Inc
Imprint:   Chapman & Hall/CRC
Dimensions:   Width: 15.60cm , Height: 1.80cm , Length: 23.40cm
Weight:   0.566kg
ISBN:  

9781439858240


ISBN 10:   1439858241
Pages:   292
Publication Date:   22 May 2012
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
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.

Reviews

I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me. -INFORMS Journal on Computing, 25(1), 2013


I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me. -INFORMS Journal on Computing, 25(1), 2013 ... is suitable for the practitioner in search of a hands-on approach to the topic, as well as the student/researcher who wants to have a quick way to know what simulation techniques (in particular for pricing derivatives) are about. -Gunther Leobacher, Mathematical Reviews Clippings December 2013


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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