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Monte Carlo Methoden im Finanzwesen - Taschenbuch, von Glasserman Paul - gut-
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eBay-Artikelnr.:127168778517
Artikelmerkmale
- Artikelzustand
- Book Title
- Monte Carlo Methods in Financial Engineering (Stochastic Modellin
- ISBN
- 9781441918222
Über dieses Produkt
Product Identifiers
Publisher
Springer New York
ISBN-10
1441918221
ISBN-13
9781441918222
eBay Product ID (ePID)
127342544
Product Key Features
Number of Pages
Xiii, 596 Pages
Language
English
Publication Name
Monte Carlo Methods in Financial Engineering
Subject
Investments & Securities / Derivatives, Finance / Financial Engineering, Public Finance, Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Applied
Publication Year
2010
Type
Textbook
Subject Area
Mathematics, Business & Economics
Series
Stochastic Modelling and Applied Probability Ser.
Format
Trade Paperback
Dimensions
Item Weight
32.7 Oz
Item Length
9.3 in
Item Width
6.1 in
Additional Product Features
Intended Audience
Scholarly & Professional
Dewey Edition
21
Series Volume Number
53
Number of Volumes
1 vol.
Illustrated
Yes
Dewey Decimal
658.15/5/01519282
Table Of Content
1 Foundations.- 2 Generating Random Numbers and Random Variables.- 3 Generating Sample Paths.- 4 Variance Reduction Techniques.- 5 Quasi-Monte Carlo.- 6 Discretization Methods.- 7 Estimating Sensitivities.- 8 Pricing American Options.- 9 Applications in Risk Management.- A Appendix: Convergence and Confidence Intervals.- A.1 Convergence Concepts.- A.2 Central Limit Theorem and Confidence Intervals.- B Appendix: Results from Stochastic Calculus.- B.1 Itô's Formula.- B.2 Stochastic Differential Equations.- B.3 Martingales.- B.4 Change of Measure.- C Appendix: The Term Structure of Interest Rates.- C.1 Term Structure Terminology.- C.2 Interest Rate Derivatives.- References.
Synopsis
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context.", This book is devoted to the use of Monte Carlo methods in finance and is the first of its kind in this area. It will serve as a reference for practitioners and researchers and will also be suitable as a graduate text for courses on computational finance.
LC Classification Number
T57-57.97
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