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Finance with Monte Carlo

Previously published in hardcover
BuchKartoniert, Paperback
250 Seiten
Englisch
Springererschienen am11.08.2016Softcover reprint of the original 1st ed. 2013
This book introduces 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.mehr
Verfügbare Formate
BuchGebunden
EUR74,89
BuchKartoniert, Paperback
EUR53,49

Produkt

KlappentextThis book introduces 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.
Details
ISBN/GTIN978-1-4939-4334-0
ProduktartBuch
EinbandartKartoniert, Paperback
Verlag
Erscheinungsjahr2016
Erscheinungsdatum11.08.2016
AuflageSoftcover reprint of the original 1st ed. 2013
ReiheSpringer Undergraduate Texts in Mathematics and Technology
Seiten250 Seiten
SpracheEnglisch
Gewicht530 g
IllustrationenXIX, 250 p. 70 illus., 17 illus. in color.
Artikel-Nr.39223818

Inhalt/Kritik

Inhaltsverzeichnis
1. Geometric Brownian Motion and the Efficient Market Hypothesis.- 2. Return and Risk.- 3. Forward and Option Contracts and their Pricing.- 4. Pricing Exotic Options.- 5. Option Trading Strategies.- 6. Alternative to GBM Prices.- â7. Kelly's Criterion.- Appendices.- A. Some Mathematical Background Topics.- B. Stochastic Calculus.- C. Convergence of the Binomial Method.- D. Variance Reduction Techniques.- E. Shell Sort.- F. Next Day Prices Program.- References.- List of Notation.- List of Algorithms.- Index.mehr

Schlagworte

Autor


Ronald W. Shonkwiler is a Professor Emeritus in the School of Mathematics at the Georgia Institute of Technology. He received his Masters in Mathematics in 1967, and then his PH.D. in Mathematics in 1970 from the University of Colorado, Boulder. His research includes optimization by Monte Carlo methods, computer geometry, fractal geometry, mathematical epidemiology, neural networks, and mathematical finance. Ronald W. Shonkwiler previously published two books with Springer in the UTM series. "Explorations in Monte Carlo Methods" 2009, ISBN: 978-0-387-87836-2 and "Mathematical Biology, 2nd ed" 2009, ISBN: 978-0-387-70983-3.