292 Pages
by
Chapman & Hall
292 Pages
by
Chapman & Hall
292 Pages
by
Chapman & Hall
Also available as eBook on:
Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry. The author first presents... Read more
Review of Probability. Brownian Motion. Arbitrage Free Pricing. Monte Carlo Simulation. Generating Random Variables. Variance Reduction Techniques. Importance Sampling. Stochastic Calculus. Simulation of Diffusions. Sensitivity Analysis. Appendices. Bibliography. Index.
Biography
Hui Wang is an associate professor in the Division of Applied Mathematics at Brown University. He earned a Ph.D. in statistics from Columbia University. His research and teaching cover Monte Carlo simulation, mathematical finance, probability and statistics, and stochastic optimization.
