Finance with Monte Carlo
This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore fi...
Enregistré dans:
| Hovedforfatter: | |
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| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
New York, NY :
Springer New York : Imprint: Springer
[20..].
Cham : Springer Nature |
| Serier: | Springer Undergraduate Texts in Mathematics and Technology
|
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Finance with Monte Carlo, Ronald W. Shonkwiler, New York, Springer, 2013, 1 vol. (XIX- 250p.), Springer undergraduate texts in mathematics and technology, 978-1-4614-8510-0 |
| LEADER | 04903nam a22003257a 4500 | ||
|---|---|---|---|
| 001 | 946871 | ||
| 008 | 131018q2000 xx ||| |||| 00| 0 eng d | ||
| 009 | PPN172421160 | ||
| 020 | |a 9781461485117 | ||
| 020 | |a 9781461485117 | ||
| 041 | 0 | |a eng | |
| 082 | |a 519 | ||
| 100 | 1 | |a Shonkwiler, Ronald W., |d 1942- | |
| 245 | 1 | 0 | |a Finance with Monte Carlo |c by Ronald W. Shonkwiler. |
| 260 | |a New York, NY : |b Springer New York : |b Imprint: Springer. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Springer Undergraduate Texts in Mathematics and Technology |x 1867-5506 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a 1. Geometric Brownian Motion and the Efficient Market Hypothesis 2. Return and Risk 3. Forward and Option Contracts and their Pricing 4. Pricing Exotic Options 5. Option Trading Strategies 6. Alternative to GBM Prices 7. Kelly's Criterion Appendices A. Some Mathematical Background Topics B. Stochastic Calculus C. Convergence of the Binomial Method D. Variance Reduction Techniques E. Shell Sort F. Next Day Prices Program References List of Notation List of Algorithms Index | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications. The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methods allows for students to travel a short road from theory to practical applications. Coverage includes investment science, mean-variance portfolio theory, option pricing principles, exotic options, option trading strategies, jump diffusion and exponential Lévy alternative models, and the Kelly criterion for maximizing investment growth. Novel features: inclusion of both portfolio theory and contingent claim analysis in a single text pricing methodology for exotic options expectation analysis of option trading strategies pricing models that transcend the Black Scholes framework optimizing investment allocations concepts thoroughly explored through numerous simulation exercises numerous worked examples and illustrations The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. Also by the author: (with F. Mendivil) Explorations in Monte Carlo, 2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, 2009, ISBN: 978-0-387-70983-3 | ||
| 776 | 0 | |0 181138530 |t Finance with Monte Carlo |f Ronald W. Shonkwiler |c New York |n Springer |d 2013 |p 1 vol. (XIX- 250p.) |s Springer undergraduate texts in mathematics and technology |z 978-1-4614-8510-0 | |
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