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Monte Carlo simulation and finance

Author: Don L McLeish
Publisher: Hoboken, NJ : J. Wiley, 2005.
Series: Wiley finance series.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
"Monte Carlo Simulation and Finance provides financial engineers, researchers, and students with today's most detailed and application-based examination of Monte Carlo modeling techniques. It is filled with valuable insights and methodologies for formulating the problem at hand; setting specific objectives; choosing and implementing the most applicable model; determining parameters; running the simulation; and
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Don L McLeish
ISBN: 0471677787 9780471677789
OCLC Number: 57003799
Description: xi, 387 pages : illustrations ; 24 cm.
Contents: Some basic theory of finance --
Basic Monte Carlo methods --
Variance reduction techniques --
Simulating the value of options --
Quasi-Monte Carlo multiple integration --
Estimation and calibration --
Sensitivity analysis, estimating derivatives and the Greeks --
Other methods and conclusions.
Series Title: Wiley finance series.
Responsibility: Don L. McLeish.
More information:

Abstract:

Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used  Read more...

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"...a very useful guide..." (Zentralblatt MATH, 1117)

 
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