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Monte Carlo Simulation with Applications to Finance (Chapman and Hall/CRC Financial Mathematics Series) epub download

by Hui Wang


Hui Wang is an associate professor in the Division of Applied Mathematics at Brown University.

Hui Wang is an associate professor in the Division of Applied Mathematics at Brown University. in statistics from Columbia University. Series: Chapman and Hall/CRC Financial Mathematics Series. Hardcover: 292 pages.

Format: Print Replica. Hui Wang is an associate professor in the Division of Applied Mathematics at Brown University. Similar books to Monte Carlo Simulation with Applications to Finance (Chapman and Hall/CRC Financial Mathematics Series). Kindle Fire HDX . ''. Publication Date: May 22, 2012.

Chapman and Hall/CRC Published September 5, 2019 Reference - 292 Pages ISBN 9780367381356 - CAT K450067. Chapman and Hall/CRC Published May 22, 2012 Reference - 292 Pages ISBN 9781439858240 - CAT K12713. eBooks are subject to VAT, which is applied during the checkout process.

Series: Chapman and Hall/CRC Financial Mathematics Series. It is assumed that the reader is somewhat familiar with the elementary probability concepts such as random variables and multivariate probability distributions. However, for the sake of completeness, we use this chapter to collect a number of basic results from probability theory that will be used repeatedly in the rest of the book.

Developed from the author's course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry. The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes.

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Автор: Wang Hui Название: Monte Carlo Simulation with Applications to Finance Издательство: Taylor&Francis .

Developed from the author s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering.

Start by marking Monte Carlo Simulation with Applications to Finance (Chapman and Hall/CRC Financial Mathematics .

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Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining the distrib.

Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining the distribution of their value over the range of resultant outcomes. This is usually done by help of stochastic asset models. The advantage of Monte Carlo methods over other techniques increases as the dimensions (sources of uncertainty) of the problem increase.

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Hui Wang Monte Carlo Simulation with Applications to Finance (Chapman & Hall/Crc Financial Mathematics). ISBN 13: 9781439858240. Monte Carlo Simulation with Applications to Finance (Chapman & Hall/Crc Financial Mathematics).

Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry.

The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes.

Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB® coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.

Monte Carlo Simulation with Applications to Finance (Chapman and Hall/CRC Financial Mathematics Series) epub download

ISBN13: 978-1439858240

ISBN: 1439858241

Author: Hui Wang

Category: Math and Science

Subcategory: Mathematics

Language: English

Publisher: Chapman and Hall/CRC; 1 edition (May 22, 2012)

Pages: 292 pages

ePUB size: 1259 kb

FB2 size: 1210 kb

Rating: 4.8

Votes: 604

Other Formats: lrf docx docx txt

Related to Monte Carlo Simulation with Applications to Finance (Chapman and Hall/CRC Financial Mathematics Series) ePub books

Vishura
I took a stochastic simulations class that used this text book. This book is a very good overview of lots of things, but I found it to be difficult. I had to get another book as a reference to actually learn the topics.

This book does not go in depth into anything that it talks about and it as very very few examples. This makes answering the exercises difficult. Unless you have an absolute understanding of calculus and statistics going in, you wont learn much from this book.

It is a well written book and the topics it covers are well put, but without the knowledge of a math professor behind it Monte Carlo Simulations with Applications to Finances falls short in the explanation department.
Vishura
I took a stochastic simulations class that used this text book. This book is a very good overview of lots of things, but I found it to be difficult. I had to get another book as a reference to actually learn the topics.

This book does not go in depth into anything that it talks about and it as very very few examples. This makes answering the exercises difficult. Unless you have an absolute understanding of calculus and statistics going in, you wont learn much from this book.

It is a well written book and the topics it covers are well put, but without the knowledge of a math professor behind it Monte Carlo Simulations with Applications to Finances falls short in the explanation department.
ladushka
There is another review for this book complain that this book is too hard. I strongly believe it otherwise, because this book is way too simple for anybody who has studied financing engineering. It's a great book for overview about Monte-Carlo, but this is about it. The depth of the material is nothing more than definitions and simple explanation. For example, the book tells you how to simulate a Brownian motion, but it fails to tell you why the Euler scheme converge and there are other higher-order schemes (Euler is second) available. Another problem is that there is no discussion about the advantages and disadvantages for each random generation scheme. Is one scheme better in terms of computation?
ladushka
There is another review for this book complain that this book is too hard. I strongly believe it otherwise, because this book is way too simple for anybody who has studied financing engineering. It's a great book for overview about Monte-Carlo, but this is about it. The depth of the material is nothing more than definitions and simple explanation. For example, the book tells you how to simulate a Brownian motion, but it fails to tell you why the Euler scheme converge and there are other higher-order schemes (Euler is second) available. Another problem is that there is no discussion about the advantages and disadvantages for each random generation scheme. Is one scheme better in terms of computation?