McLeish, Don L.
Monte Carlo simulation and finance / Don L. McLeish. - Hoboken, NJ : J. Wiley, 2005. - xi, 387 p. : ill. ; 24 cm. - Wiley finance series .
Includes bibliographical references (p. 375-381) and index.
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.
0471677787 (cloth.) 9780471677789 (cloth.)
Financial futures.
Monte Carlo method.
Options (Finance)
332.645 / MAC
Monte Carlo simulation and finance / Don L. McLeish. - Hoboken, NJ : J. Wiley, 2005. - xi, 387 p. : ill. ; 24 cm. - Wiley finance series .
Includes bibliographical references (p. 375-381) and index.
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.
0471677787 (cloth.) 9780471677789 (cloth.)
Financial futures.
Monte Carlo method.
Options (Finance)
332.645 / MAC