Monte Carlo simulation and finance [electronic resource] / Don L. McLeish.
Material type:
BookSeries: Wiley finance seriesPublication details: Hoboken, NJ : J. Wiley, 2005.Description: xi, 387 p. : illSubject(s): Genre/Form: DDC classification: - 332.64/5/0151828 22
- HG6024.3 .M357 2005eb
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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.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
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