McLeish, Don L.
Monte Carlo simulation and finance [electronic resource] / Don L. McLeish. - Hoboken, NJ : J. Wiley, 2005. - xi, 387 p. : ill. - Wiley finance series . - Wiley finance series. .
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.
Financial futures.
Monte Carlo method.
Options (Finance)
Electronic books.
HG6024.3 / .M357 2005eb
332.64/5/0151828
Monte Carlo simulation and finance [electronic resource] / Don L. McLeish. - Hoboken, NJ : J. Wiley, 2005. - xi, 387 p. : ill. - Wiley finance series . - Wiley finance series. .
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.
Financial futures.
Monte Carlo method.
Options (Finance)
Electronic books.
HG6024.3 / .M357 2005eb
332.64/5/0151828