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:
| Auteur principal: | |
|---|---|
| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
New York, NY :
Springer New York : Imprint: Springer
[20..].
Cham : Springer Nature |
| Collection: | Springer Undergraduate Texts in Mathematics and Technology
|
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
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 |
Table des matières:
- 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