Monte Carlo simulation and finance

Monte Carlo simulation and finance

Some basic theory of finance -- Basic Monte Carlo methods -- Variance reduction techniques -- Simulating the value of options -- Quasi-Monte Carlo multiple integration -- Estimation and calibration -- Sensitivity analysis, estimating derivatives and the Greeks -- Other methods and conclusions

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Bibliographische Detailangaben
1. Verfasser: McLeish, Don L. (VerfasserIn, BerichterstatterIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: Hoboken, NJ Wiley c2005
Schriftenreihe:Wiley finance series
Schlagworte:
Monte-Carlo-Simulation > Finanzanalyse > Derivat > Optionsanleihe > Futures > Financial futures > Monte Carlo method > Options (Finance) > Bibliographie enthalten > Lehrbuch > Investitionsentscheidung
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Zusammenfassung:Some basic theory of finance -- Basic Monte Carlo methods -- Variance reduction techniques -- Simulating the value of options -- Quasi-Monte Carlo multiple integration -- Estimation and calibration -- Sensitivity analysis, estimating derivatives and the Greeks -- Other methods and conclusions
Some basic theory of finance -- Basic Monte Carlo methods -- Variance reduction techniques -- Simulating the value of options -- Quasi-Monte Carlo multiple integration -- Estimation and calibration -- Sensitivity analysis, estimating derivatives and the Greeks -- Other methods and conclusions
Beschreibung:Includes bibliographical references (p. 375-381) and index
Beschreibung:XI, 387 S
graph. Darst
24 cm
ISBN:0471677787
0-471-67778-7
9780471677789
978-0-471-67778-9