Monte Carlo Simulation with Applications to FinanceAuthor :
Paperback
Published : Thursday 5 September 2019
Description
Developed from the authors course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of option pricing, risk analysis, and sensitivity analysis as well as many hand-and-paper and MATLABr coding exercises at the end of every chapter.
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