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