Monte Carlo Methods in Finance

Name: Monte Carlo Methods in Finance
Price: 18.34 USD
Availability: InStock
ISBN: 9780471497417

ISBN-10: 047149741X

ISBN-13: 9780471497417

Edition: 2002

Authors: Peter Jï¿½ckel, Peter Jï¿½ckel

List price: $181.00

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Description:

This text on financial Monte Carlo methods covers topics on: mathematics behind Monte Carlo methods; correlation normal, log-normal and other processes; applications in risk management option pricing; value at risk and various reduction techniques.

Book details

List price: $181.00
Copyright year: 2002
Publisher: John Wiley & Sons, Incorporated
Publication date: 4/3/2002
Binding: Hardcover
Pages: 240
Size: 6.50" wide x 9.70" long x 0.90" tall
Weight: 1.540
Language: English



Preface


Acknowledgements


Mathematical NotationIntroduction


The Mathematics Behind Monte Carlo Methods


Stochastic Dynamics Process-driven


Sampling Correlation and Co-movement Salvaging a Linear


Correlation Matrix Pseudo-random Numbers


Low-discrepancy Numbers Non-uniform Variates Variance


Reduction Techniques Greeks Monte Carlo in the BGM/J Framework Non-recombining Trees Miscellanea


Bibliography


Index