Stochastic simulation and applications in financewith Matlab programs

Stochastic simulations are among the most broadly applicable and powerful tools for valuing complex derivatives and securities, and for measuring risks associated with various financial instruments. Explaining the theory and practiceof stochastic processes in financial engineering, this text provides an in-depth, rigorous explanation of how to apply stochastic simulations to financial engineering problems. The book covers the basics of probability and statistics, Monte Carlo simulations, the most commonly used techniques, and the latest developments to provide quantitative finance and risk management professionals and students with the most up-to-date text available. INDICE: Preface. Chapter 1: Introduction to probability. Chapter 2: Introduction to random variables. Chapter 3: Random sequences. Chapter 4: Introduction to computer simulation of random variables. Chapter 5: Foundations of MonteCarlo simulations. Chapter 6: Fundamentals of Quasi Monte Carlo (QMC) simulations. Chapter 7: Introduction to random processes. Chapter 8: Solution of stochastic differential equations. Chapter 9: General approach to the valuation ofcontingent claims. Chapter 10: Pricing options using Monte Carlo simulations.Chapter 11: Term structure of interest rates and interest rate derivatives. Chapter 12: Credit risk and the valuation of corporate securities. Chapter 13: Valuation of portfolios of financial guarantees. Chapter 14: Risk management and Value at Risk (VaR). Chapter 15: VaR and Principal Components Analysis (PCA). Appendix A: Review of mathematics. Appendix B: MATLABøR Functions. Bibliography. Index.

• ISBN: 978-0-470-72538-2
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 360
• Fecha Publicación: 07/11/2008
• Nº Volúmenes: 1
• Idioma: Inglés