عنوان

Stochastic simulation and applications in finance with MATLAB programs /

(Number (ISBN

0470725389 (cloth)

(Number (ISBN

9780470725382 (cloth)

Country Code

dnb

Number

b427210

Title Proper

Stochastic simulation and applications in finance with MATLAB programs /

General Material Designation

[Book]

First Statement of Responsibility

Huu Tue Huynh, Van Son Lai and Issouf Soumaré

Place of Publication, Distribution, etc.

Hoboken, NJ :

Name of Publisher, Distributor, etc.

John Wiley & Sons,

Date of Publication, Distribution, etc.

c2008

Specific Material Designation and Extent of Item

xvi, 338 p. :

Other Physical Details

ill. ;

Dimensions

25 cm. +

Accompanying Material

1 CD-ROM

Series Title

[Wiley finance]

Text of Note

Includes bibliographical references (p. [327]-338) and index

Text of Note

1. Introduction to probability -- 2. Introduction to random variables -- 3. Random sequences -- 4. Introduction to computer simulation of random variables -- 5. Foundations of Monte Carlo simulations -- 6. Fundamentals of quasi Monte Carlo (QMC) simulations -- 7. Introduction to random processes -- 8. Solution of stochastic differential equations -- 9. General approach to the valuation of contingent claims -- 10. Pricing options using Monte Carlo simulations -- 11. Term structure of interest rates and interest rate derivatives -- 12. Credit risk and the valuation of corporate securities -- 13. Valuation of portfolios of financial guarantees -- 14. Risk management and value at risk (VaR) -- 15. Value at risk (VaR) and principal components analysis (PCA) -- App. A. Review of mathematics -- App. B. MATLAB functions.

0

Text of Note

"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 also includes an accompanying CD-ROM 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."--Jacket.

Finance

Finance-- Mathematical models

Stochastic models

Huynh, Huu Tue

Lai, Van Son

Soumaré, Issouf

Date of Transaction

20110502014544.0

Electronic name

[Book]

Y