Stochastic Simulation and Applications in Finance with MATLAB Programs is popular PDF and ePub book, written by Huu Tue Huynh in 2011-11-21, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Stochastic Simulation and Applications in Finance with MATLAB Programs can be Read Online from any device for your convenience.
Stochastic Simulation and Applications in Finance with MATLAB Programs Book PDF Summary
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.
Detail Book of Stochastic Simulation and Applications in Finance with MATLAB Programs PDF
- Author : Huu Tue Huynh
- Release : 21 November 2011
- Publisher : John Wiley & Sons
- ISBN : 9780470722138
- Genre : Business & Economics
- Total Page : 354 pages
- Language : English
- PDF File Size : 18,9 Mb
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