Monte Carlo simulation and finance
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| Corporate Author: | |
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ :
J. Wiley,
2005.
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| Series: | Wiley finance series
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| Subjects: | |
| Online Access: | http://site.ebrary.com/lib/ucy/Doc?id=10114171 |
Table of Contents:
- Some basic theory of finance
- Basic Monte Carlo methods
- Variance reduction techniques
- Simulating the value of options
- Quasi-Monte Carlo multiple integration
- Estimation and calibration
- Sensitivity analysis, estimating derivatives and the Greeks
- Other methods and conclusions.