Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon.
This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
【目录】
Acknowledgments
Chapter 1 Introduction
Chapter 2 Some Basic Theory of Finance
Introduction to Pricing: Single PeriodModels
Multiperiod Models
Determining the Process Bt
Minimum Variance Portfolios and the Capital Asset Pricing Model
Entropy: choosing a Q measure
Models in Continuous Time
Problems
Chapter 3 Basic Monte Carlo Methods
Uniform Random Number Generation
Apparent Randomness of Pseudo-Random Number Generators
Generating Random Numbers from Non-Uniform Continuous Distributions
Generating Random Numbers from Discrete Distributions
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