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Stochastic Simulation and Applications in Finance with MATLAB® Programs: Huynh/Stochastic by Huu Tue Huynh, Van Son Lai, Issouf Soumare(auth.) is a nonfiction available to read on EtoBox.

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__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. The book also includes an accompan

Who reads Stochastic Simulation and Applications in Finance with MATLAB® Programs: Huynh/Stochastic?

Author

Huu Tue Huynh, Van Son Lai, Issouf Soumare(auth.)

Publisher

John Wiley & Sons, Ltd.

Published

2008

Language

EN

ISBN

9781283372374

Category

nonfiction

Subjects

Finance, Computer Science, Engineering