Finance with Monte Carlo

This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore fi...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Shonkwiler, Ronald W. (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer New York : Imprint: Springer, 2013.
Edición:1st ed. 2013.
Colección:Springer Undergraduate Texts in Mathematics and Technology,
Temas:
Social sciences-Mathematics.
Mathematical models.
Probabilities.
Numerical analysis.
Mathematics in Business, Economics and Finance.
Mathematical Modeling and Industrial Mathematics.
Probability Theory.
Numerical Analysis.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 1. Geometric Brownian Motion and the Efficient Market Hypothesis
  • 2. Return and Risk
  • 3. Forward and Option Contracts and their Pricing
  • 4. Pricing Exotic Options
  • 5. Option Trading Strategies
  • 6. Alternative to GBM Prices
  • 7. Kelly's Criterion
  • Appendices
  • A. Some Mathematical Background Topics
  • B. Stochastic Calculus
  • C. Convergence of the Binomial Method
  • D. Variance Reduction Techniques
  • E. Shell Sort
  • F. Next Day Prices Program
  • References
  • List of Notation
  • List of Algorithms
  • Index.

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