Monte Carlo simulation and finance / Don L. McLeish.
By: McLeish, Don L.
Series: Wiley finance series. Publisher: Hoboken, NJ : J. Wiley, 2005Description: xi, 387 p. : ill. ; 24 cm.ISBN: 0471677787 (cloth.); 9780471677789 (cloth.).Subject(s): Financial futures | Monte Carlo method | Options (Finance)DDC classification: 332.645
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.
Item type | Current location | Call number | Copy number | Status | Notes | Date due | Barcode | Remark |
---|---|---|---|---|---|---|---|---|
Main Collection | TU External Storage-LCS | 332.645 MAC (Browse shelf) | 1 | Available | GENLS,GENLS,03,GR | 1000511707 | Please fill up online form at https://taylorslibrary.taylors.edu.my/services/external_storage1 |
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.