Stochastic simulation and applications in finance with MATLAB programs
xvi, 338 p. : ill.
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
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John Wiley & Sons, Ltd
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| Truy cập trực tuyến: | https://thuvienso.hoasen.edu.vn/handle/123456789/9548 |
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oai:https:--thuvienso.hoasen.edu.vn:123456789-95482023-10-13T06:35:33Z Stochastic simulation and applications in finance with MATLAB programs Huynh, Huu Tue Lai, Van Son Soumaré, Issouf Finance Stochastic models Mathematical models xvi, 338 p. : ill. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. 2008 Book 978-0-470-72538-2 https://thuvienso.hoasen.edu.vn/handle/123456789/9548 en application/pdf application/pdf John Wiley & Sons, Ltd |
| institution |
Trường Đại học Hoa Sen |
| collection |
DSpaceHS |
| language |
English |
| topic |
Finance Stochastic models Mathematical models |
| spellingShingle |
Finance Stochastic models Mathematical models Huynh, Huu Tue Lai, Van Son Soumaré, Issouf Stochastic simulation and applications in finance with MATLAB programs |
| description |
xvi, 338 p. : ill. |
| format |
Book |
| author |
Huynh, Huu Tue Lai, Van Son Soumaré, Issouf |
| author_facet |
Huynh, Huu Tue Lai, Van Son Soumaré, Issouf |
| author_sort |
Huynh, Huu Tue |
| title |
Stochastic simulation and applications in finance with MATLAB programs |
| title_short |
Stochastic simulation and applications in finance with MATLAB programs |
| title_full |
Stochastic simulation and applications in finance with MATLAB programs |
| title_fullStr |
Stochastic simulation and applications in finance with MATLAB programs |
| title_full_unstemmed |
Stochastic simulation and applications in finance with MATLAB programs |
| title_sort |
stochastic simulation and applications in finance with matlab programs |
| publisher |
John Wiley & Sons, Ltd |
| url |
https://thuvienso.hoasen.edu.vn/handle/123456789/9548 |
| work_keys_str_mv |
AT huynhhuutue stochasticsimulationandapplicationsinfinancewithmatlabprograms AT laivanson stochasticsimulationandapplicationsinfinancewithmatlabprograms AT soumareissouf stochasticsimulationandapplicationsinfinancewithmatlabprograms |
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