Stochastic Simulation and Applications in Finance with MATLAB Programs

Stochastic Simulation and Applications in Finance with MATLAB Programs
Author :
Publisher : John Wiley & Sons
Total Pages : 354
Release :
ISBN-10 : 9780470722138
ISBN-13 : 0470722134
Rating : 4/5 (134 Downloads)

Book Synopsis Stochastic Simulation and Applications in Finance with MATLAB Programs by : Huu Tue Huynh

Download or read book Stochastic Simulation and Applications in Finance with MATLAB Programs written by Huu Tue Huynh and published by John Wiley & Sons. This book was released on 2011-11-21 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


Stochastic Simulation and Applications in Finance with MATLAB Programs Related Books

Stochastic Simulation and Applications in Finance with MATLAB Programs
Language: en
Pages: 354
Authors: Huu Tue Huynh
Categories: Business & Economics
Type: BOOK - Published: 2011-11-21 - Publisher: John Wiley & Sons

GET EBOOK

Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerica
Handbook of Computational Finance
Language: en
Pages: 791
Authors: Jin-Chuan Duan
Categories: Business & Economics
Type: BOOK - Published: 2011-10-25 - Publisher: Springer Science & Business Media

GET EBOOK

Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fa
Stochastic Numerical Methods
Language: en
Pages: 518
Authors: Raúl Toral
Categories: Science
Type: BOOK - Published: 2014-06-26 - Publisher: John Wiley & Sons

GET EBOOK

Stochastic Numerical Methods introduces at Master level the numerical methods that use probability or stochastic concepts to analyze random processes. The book
Term Structure of Profit Rates of Sukuk
Language: en
Pages: 340
Authors: Adesina-Uthman Ganiyat
Categories: Business & Economics
Type: BOOK - Published: 2015-06-18 - Publisher: Cambridge Scholars Publishing

GET EBOOK

This book explores several non-traditional and under-researched fields in Islamic finance through its investigations into how the newly-emergent financial instr
Asset-Liability and Liquidity Management
Language: en
Pages: 1056
Authors: Pooya Farahvash
Categories: Business & Economics
Type: BOOK - Published: 2020-05-26 - Publisher: John Wiley & Sons

GET EBOOK

Asset-Liability and Liquidity Management distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehe