Monte Carlo Simulation & Finance

Don L. McLeish - Collection Wiley Finance

388 pages, parution le 18/05/2005

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Résumé

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.

L'auteur - Don L. McLeish

Don L. McLeish is Professor of Statistics and Actuarial Science at the University of Waterloo. His research has focused on probability, statistical methods and models in general, and their application to financial data, including wide-tail alternatives to the normal distribution and the consequences for derivatives and asset pricing. He has contributed to the application of Monte Carlo techniques, variance reduction, and stochastic calculus to problems in finance, and is cofounder of the University of Waterloo's Center for Advance Studies in Finance. McLeish is also coauthor, with C.G. Small, of The Theory and Application of Statistical Inference Functions and Hilbert Space Methods in Probability and Statistical Inference (Wiley).

Sommaire

Introduction
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 Directions and Conclusions
Conclusions
Notes
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Don L. McLeish
Collection	Wiley Finance
Parution	18/05/2005
Nb. de pages	388
Format	16 x 23,5
Couverture	Relié
Poids	682g
Intérieur	Noir et Blanc
EAN13	9780471677789
ISBN13	978-0-471-67778-9