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Author: Don L. McLeish Publisher: John Wiley & Sons ISBN: 1118160940 Category : Business & Economics Languages : en Pages : 308
Book Description
Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
Author: Don L. McLeish Publisher: John Wiley & Sons ISBN: 1118160940 Category : Business & Economics Languages : en Pages : 308
Book Description
Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
Author: Paul Glasserman Publisher: Springer Science & Business Media ISBN: 0387216170 Category : Mathematics Languages : en Pages : 603
Book Description
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Author: Hui Wang Publisher: CRC Press ISBN: 1439858241 Category : Business & Economics Languages : en Pages : 294
Book Description
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.
Author: Ralf Korn Publisher: CRC Press ISBN: 1420076191 Category : Business & Economics Languages : en Pages : 485
Book Description
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Author: Paolo Brandimarte Publisher: John Wiley & Sons ISBN: 1118594517 Category : Business & Economics Languages : en Pages : 620
Book Description
An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.
Author: Huu Tue Huynh Publisher: John Wiley & Sons ISBN: 0470722134 Category : Business & Economics Languages : en Pages : 354
Book Description
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 takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic 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.
Author: Ronald W. Shonkwiler Publisher: Springer Science & Business Media ISBN: 0387878378 Category : Mathematics Languages : en Pages : 249
Book Description
Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Applications covered in this book include optimization, finance, statistical mechanics, birth and death processes, and gambling systems. Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material. This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics.
Author: Dirk P. Kroese Publisher: John Wiley & Sons ISBN: 1118014952 Category : Mathematics Languages : en Pages : 627
Book Description
A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
Author: John Charnes Publisher: John Wiley & Sons ISBN: 1118161130 Category : Business & Economics Languages : en Pages : 449
Book Description
Praise for Financial Modeling with Crystal Ball(r) and Excel(r) "Professor Charnes's book drives clarity into applied Monte Carlo analysis using examples and tools relevant to real-world finance. The book will prove useful for analysts of all levels and as a supplement to academic courses in multiple disciplines." -Mark Odermann, Senior Financial Analyst, Microsoft "Think you really know financial modeling? This is a must-have for power Excel users. Professor Charnes shows how to make more realistic models that result in fewer surprises. Every analyst needs this credibility booster." -James Franklin, CEO, Decisioneering, Inc. "This book packs a first-year MBA's worth of financial and business modeling education into a few dozen easy-to-understand examples. Crystal Ball software does the housekeeping, so readers can concentrate on the business decision. A careful reader who works the examples on a computer will master the best general-purpose technology available for working with uncertainty." -Aaron Brown, Executive Director, Morgan Stanley, author of The Poker Face of Wall Street "Using Crystal Ball and Excel, John Charnes takes you step by step, demonstrating a conceptual framework that turns static Excel data and financial models into true risk models. I am astonished by the clarity of the text and the hands-on, step-by-step examples using Crystal Ball and Excel; Professor Charnes is a masterful teacher, and this is an absolute gem of a book for the new generation of analyst." -Brian Watt, Chief Operating Officer, GECC, Inc. "Financial Modeling with Crystal Ball and Excel is a comprehensive, well-written guide to one of the most useful analysis tools available to professional risk managers and quantitative analysts. This is a must-have book for anyone using Crystal Ball, and anyone wanting an overview of basic risk management concepts." -Paul Dietz, Manager, Quantitative Analysis, Westar Energy "John Charnes presents an insightful exploration of techniques for analysis and understanding of risk and uncertainty in business cases. By application of real options theory and Monte Carlo simulation to planning, doors are opened to analysis of what used to be impossible, such as modeling the value today of future project choices." -Bruce Wallace, Nortel
Author: Don L. McLeish
Author: Don L. McLeish
Author: Paul Glasserman
Author: Hui Wang
Author: Ralf Korn
Author: Paolo Brandimarte
Author: Thomas N. Herzog
Author: Huu Tue Huynh
Author: Ronald W. Shonkwiler
Author: Dirk P. Kroese
Author: John Charnes