Electronic Resource

Finance with Monte Carlo

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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 financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications.

The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methods allows for students to travel a short road from theory to practical applications.

Coverage includes investment science, mean-variance portfolio theory, option pricing principles, exotic options, option trading strategies, jump diffusion and exponential Lévy alternative models, and the Kelly criterion for maximizing investment growth.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

E638

Penerbit

New York : Springer, NY., 2013

Deskripsi Fisik

xix, 250 hlm.

Bahasa

English

ISBN/ISSN

9781461485117

Klasifikasi

NONE

Tipe Isi

text

Tipe Media

computer

Tipe Pembawa

online resource

Edisi

Ed.1

Subjek

Statistik
Matematika Statistik
Matematika

Info Detail Spesifik

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Pernyataan Tanggungjawab

Ronald W. Shonkwiler

Versi lain/terkait

Lampiran Berkas

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