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Monte Carlo simulation and finance

by McLeish, Don L.
Additional authors: ebrary, Inc.
Series: Wiley finance series Published by : J. Wiley, (Hoboken, NJ :) Physical details: xi, 387 p. : ill.
Subject(s): Financial futures. | Monte Carlo method. | Options (Finance) | Electronic books.
Year: 2005
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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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