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Stochastic simulation and applications in finance with MATLAB programs / Huu Tue Huynh, Van Son Lai and Issouf Soumaré
(Wiley finance series)

Publisher	Chichester, England ; Hoboken, NJ : John Wiley & Sons
Year	©2008
Authors	*Huynh, Huu Tue Lai, Van Son Soumaré, Issouf

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Links to the text	Location	Volume	Call No.	Barcode No.	Status	Comments	ISBN	Printed	Restriction	Reserve
Links to the text	Library Off-campus access			OB00188398		Wiley Online Library (電子ブック)	9781118467374

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Material Type	E-Book
Media type	機械可読データファイル
Size	1 online resource (xvi, 338 pages) : illustrations
Notes	Front Matter -- Introduction to Probability -- Introduction to Random Variables -- Random Sequences -- Introduction to Computer Simulation of Random Variables -- Foundations of Monte Carlo Simulations -- Fundamentals of Quasi Monte Carlo (QMC) Simulations -- Introduction to Random Processes -- Solution of Stochastic Differential Equations -- General Approach to the Valuation of Contingent Claims -- Pricing Options using Monte Carlo Simulations -- Term Structure of Interest Rates and Interest Rate Derivatives -- Credit Risk and the Valuation of Corporate Securities -- Valuation of Portfolios of Financial Guarantees -- Risk Management and Value at Risk (VaR) -- Value at Risk (VaR) and Principal Components Analysis (PCA) -- Appendix A: Review of Mathematics -- Appendix B: MATLAB Functions -- References and Bibliography -- Index Includes bibliographical references (pages 327-338) and index 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 "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 Print version record English John Wiley and Sons Wiley Online Library: Complete oBooks HTTP:URL=https://onlinelibrary.wiley.com/doi/book/10.1002/9781118467374
Subjects	LCSH:Finance -- Mathematical models All Subject Search LCSH:Stochastic models CSHF:Finances -- Modèles mathématiques All Subject Search CSHF:Modèles stochastiques FREE:BUSINESS & ECONOMICS -- Finance All Subject Search FREE:Finance -- Mathematical models All Subject Search FREE:Stochastic models FREE:MATLAB FREE:Portfolio Selection FREE:Stochastischer Prozess FREE:Electronic books FREE:Electronic books
Classification	LCC:HG106 DC22:332.01/51923
ID	8000087642
ISBN	9781118467374