Monte Carlo simulation and finance / Don L. McLeish.
2005
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Details
Author
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Ebrary electronic monographs.
Title
Monte Carlo simulation and finance / Don L. McLeish.
Added Corporate Author
Imprint
Hoboken, NJ : J. Wiley, 2005.
Description
xi, 387 pages : illustrations ; 24 cm.
Series
Wiley finance series.
Formatted Contents Note
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.
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.
Bibliography, etc. Note
Includes bibliographical references (pages 375-381) and index.
Linked Resources
Language
English
Reproduction
Electronic reproduction. Palo Alto, Calif. : ebrary, 2006. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
ISBN
0471677787 cloth/website
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