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...
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| Κύριος συγγραφέας: | |
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| Συγγραφή απο Οργανισμό/Αρχή: | |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
New York, NY :
Springer New York : Imprint: Springer,
2013.
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| Έκδοση: | 1st ed. 2013. |
| Σειρά: | Springer Undergraduate Texts in Mathematics and Technology,
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| Θέματα: | |
| Διαθέσιμο Online: | https://doi.org/10.1007/978-1-4614-8511-7 |
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Πίνακας περιεχομένων:
- 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.