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Monte Carlo simulation with applicat...

Wang, Hui, (1976- )

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Monte Carlo simulation with applications to finance /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Monte Carlo simulation with applications to finance // Hui Wang.
Author:	Wang, Hui,
Published:	Boca Raton, Fla. :CRC Press, : 2012.,
Description:	ix, 282 p. :ill. ;25 cm.
Subject:	Finance - Mathematical methods. -
ISBN:	1439858241

Monte Carlo simulation with applications to finance /
Wang, Hui,1976-

Monte Carlo simulation with applications to finance /Hui Wang. - Boca Raton, Fla. :CRC Press,2012. - ix, 282 p. :ill. ;25 cm. - Chapman & Hall/CRC financial mathematics series. - Chapman & Hall/CRC financial mathematics series..

Includes bibliographical references (p. [277]-279) and index.

"Preface This book can serve as the text for a one-semester course on Monte Carlo simulation. The intended audience is advanced undergraduate students or students onmaster's programs who wish to learn the basics of this exciting topic and its applications to finance. The book is largely self-contained. The only prerequisite is some experience with probability and statistics. Prior knowledge on option pricing is helpful but not essential. As in any study of Monte Carlo simulation, coding is an integral part and cannot be ignored. The book contains a large number of MATLAB coding exercises. They are designedin a progressive manner so that no prior experience with MATLAB is required. Much of the mathematics in the book isinformal. For example, randomvariables are simply defined to be functions on the sample space, even though they should be measurable with respect to appropriate algebras;exchanging the order of integrations is carried out liberally, even though it should be justified by the Tonelli-Fubini Theorem. The motivation for doing so is to avoid the technical measure theoretic jargon, which is of little concern in practice and does not help much to further the understanding of the topic. The book is an extension of the lecture notes that I have developed for an undergraduate course on Monte Carlo simulation at BrownUniversity. I would like to thank the students who have taken the course, as well as the Division of Applied Mathematics at Brown, for their support. Hui Wang Providence, Rhode Island January, 2012"--

ISBN: 1439858241GBP58

LCCN: 2012-016086 Subjects--Topical Terms:

2170823
Finance
--Mathematical methods.

LC Class. No.: HG106 / .W35 2012

Monte Carlo simulation with applications to finance /
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008 160811s2012 flua 001 0 eng d
010 $a 2012-016086
020 $a 1439858241 $q (hbk.) : $c GBP58
020 $a 9781439858240 $q (hbk.)
035 $a (OCoLC)ocn659750486
040 $a DLC $b eng $c DLC $d TKU
042 $a nbic
050 4 $a HG106 $b .W35 2012
100 1 $a Wang, Hui, $d 1976- $3 2170822
245 1 0 $a Monte Carlo simulation with applications to finance / $c Hui Wang.
260 $a Boca Raton, Fla. : $b CRC Press, $c 2012.
300 $a ix, 282 p. : $b ill. ; $c 25 cm.
490 1 $a Chapman & Hall/CRC financial mathematics series
504 $a Includes bibliographical references (p. [277]-279) and index.
520 $a "Preface This book can serve as the text for a one-semester course on Monte Carlo simulation. The intended audience is advanced undergraduate students or students onmaster's programs who wish to learn the basics of this exciting topic and its applications to finance. The book is largely self-contained. The only prerequisite is some experience with probability and statistics. Prior knowledge on option pricing is helpful but not essential. As in any study of Monte Carlo simulation, coding is an integral part and cannot be ignored. The book contains a large number of MATLAB coding exercises. They are designedin a progressive manner so that no prior experience with MATLAB is required. Much of the mathematics in the book isinformal. For example, randomvariables are simply defined to be functions on the sample space, even though they should be measurable with respect to appropriate algebras;exchanging the order of integrations is carried out liberally, even though it should be justified by the Tonelli-Fubini Theorem. The motivation for doing so is to avoid the technical measure theoretic jargon, which is of little concern in practice and does not help much to further the understanding of the topic. The book is an extension of the lecture notes that I have developed for an undergraduate course on Monte Carlo simulation at BrownUniversity. I would like to thank the students who have taken the course, as well as the Division of Applied Mathematics at Brown, for their support. Hui Wang Providence, Rhode Island January, 2012"-- $c Provided by publisher
650 0 $a Finance $x Mathematical methods. $3 2170823
650 0 $a Monte Carlo method. $3 551308
830 0 $a Chapman & Hall/CRC financial mathematics series. $3 1602393