Monte Carlo Methods in Finance

ISBN-10: 047149741X

ISBN-13: 9780471497417

Edition: 2002

List price: $173.00
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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.

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Book details

List price: $173.00
Copyright year: 2002
Publisher: John Wiley & Sons, Incorporated
Publication date: 4/3/2002
Binding: Hardcover
Pages: 238
Size: 6.75" wide x 9.75" long x 0.75" tall
Weight: 1.342
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
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