عنوان

Stochastic simulation and applications in finance with MATLAB programs /

شابک

0470725389 (cloth)

شابک

9780470725382 (cloth)

کد کشور

dnb

شماره

b427210

عنوان اصلي

Stochastic simulation and applications in finance with MATLAB programs /

نام عام مواد

[Book]

نام نخستين پديدآور

Huu Tue Huynh, Van Son Lai and Issouf Soumaré

محل نشرو پخش و غیره

Hoboken, NJ :

نام ناشر، پخش کننده و غيره

John Wiley & Sons,

تاریخ نشرو بخش و غیره

c2008

نام خاص و کميت اثر

xvi, 338 p. :

ساير جزييات

ill. ;

ابعاد

25 cm. +

مواد همراه اثر

1 CD-ROM

عنوان فروست

[Wiley finance]

متن يادداشت

Includes bibliographical references (p. [327]-338) and index

متن يادداشت

1. Introduction to probability -- 2. Introduction to random variables -- 3. Random sequences -- 4. Introduction to computer simulation of random variables -- 5. Foundations of Monte Carlo simulations -- 6. Fundamentals of quasi Monte Carlo (QMC) simulations -- 7. Introduction to random processes -- 8. Solution of stochastic differential equations -- 9. General approach to the valuation of contingent claims -- 10. Pricing options using Monte Carlo simulations -- 11. Term structure of interest rates and interest rate derivatives -- 12. Credit risk and the valuation of corporate securities -- 13. Valuation of portfolios of financial guarantees -- 14. Risk management and value at risk (VaR) -- 15. Value at risk (VaR) and principal components analysis (PCA) -- App. A. Review of mathematics -- App. B. MATLAB functions.

بدون عنوان

0

متن يادداشت

"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 also includes an accompanying CD-ROM which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance."--Jacket.

موضوع مستند نشده

Finance

موضوع مستند نشده

Finance-- Mathematical models

موضوع مستند نشده

Stochastic models

مستند نام اشخاص تاييد نشده

Huynh, Huu Tue

مستند نام اشخاص تاييد نشده

Lai, Van Son

مستند نام اشخاص تاييد نشده

Soumaré, Issouf

تاريخ عمليات

20110502014544.0

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y