Stochastic Simulation and Applications in Finance with MATLAB Programs
eBook - PDF

Stochastic Simulation and Applications in Finance with MATLAB Programs

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eBook - PDF

Stochastic Simulation and Applications in Finance with MATLAB Programs

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About This Book

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 programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging.

NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.

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Yes, you can access Stochastic Simulation and Applications in Finance with MATLAB Programs by Huu Tue Huynh, Van Son Lai, Issouf Soumare in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Wiley
Year
2011
ISBN
9780470722138
Edition
1
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Stochastic Simulation and Applications in Finance with MATLABÂŽ Programs