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...
Saved in:
| Main Author: | |
|---|---|
| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
New York, NY :
Springer New York : Imprint: Springer,
2013.
|
| Edition: | 1st ed. 2013. |
| Series: | Springer Undergraduate Texts in Mathematics and Technology,
|
| Subjects: | |
| Online Access: | https://doi.org/10.1007/978-1-4614-8511-7 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Table of Contents:
- 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.