Developed from the author's course on Monte Carlo simulation at Brown
University, this text provides a self-contained introduction to Monte
Carlo methods in financial engineering. It covers common variance
reduction techniques, the cross-entropy method, and the simulation of
diffusion process models. Requiring minimal background in mathematics
and finance, the book includes numerous examples of option pricing,
risk analysis, and sensitivity analysis as well as many hand-and-paper
and MATLAB coding exercises at the end of every chapter.
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Produktdetaljer
ISBN
9781040182314
Publisert
2024
Utgave
1. utgave
Utgiver
Taylor & Francis
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter