Stochastic Simulation and Applications in Finance with MATLAB Programs.

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Huynh, Huu Tue
Otros Autores: Lai, Van Son, Soumare, Issouf
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken : John Wiley & Sons, 2011.
Temas:
Finance > Mathematical models.
Stochastic models.
Finances > Modèles mathématiques.
Modèles stochastiques.
Finance > Mathematical models
Stochastic models
Acceso en línea:Texto completo
Descripción
Sumario: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 pro.
Notas:5.5.1 Application Case: Generation of Random Variables as a Function of the Number of Simulations.
Descripción Física:1 online resource (356 pages)
ISBN:9780470722138
0470722134

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