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Monte Carlo methods in finance

Author: Peter Jäckel
Publisher: Chichester, West Sussex, England : J. Wiley, ©2002.
Series: Wiley finance series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
One CD-ROM disc in pocket.
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Genre/Form: CD-ROMs
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Peter Jäckel
ISBN: 047149741X 9780471497417
OCLC Number: 48383381
Description: xvi, 222 pages ; 26 cm + 1 computer optical disc (4 3/4 in.)cal disc.
Contents: 1. Introduction --
2. The Mathematics Behind Monte Carlo Methods --
3. Stochastic Dynamics --
4. Process-driven Sampling --
5. Correlation and Co-movement --
6. Salvaging a Linear Correlation Matrix --
7. Pseudo-random Numbers --
8. Low-discrepancy Numbers --
9. Non-uniform Variates --
10. Variance Reduction Techniques --
11. Greeks --
12. Monte Carlo in the BGM/J Framework --
13. Non-recombining Trees --
14. Miscellanea.
Series Title: Wiley finance series.
Responsibility: Peter Jäckel.
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Abstract:

A guide which uses a problem solving approach and shows how to implement Monte Carlo methods, starting from first principles to advanced techniques.  Read more...

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