Finance with Monte Carlo

Nonfiction, Science & Nature, Mathematics, Applied, Statistics, Business & Finance
Cover of the book Finance with Monte Carlo by Ronald W. Shonkwiler, Springer New York
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Ronald W. Shonkwiler ISBN: 9781461485117
Publisher: Springer New York Publication: September 17, 2013
Imprint: Springer Language: English
Author: Ronald W. Shonkwiler
ISBN: 9781461485117
Publisher: Springer New York
Publication: September 17, 2013
Imprint: Springer
Language: English

This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications.

The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methods allows for students to travel a short road from theory to practical applications.

Coverage includes investment science, mean-variance portfolio theory, option pricing principles, exotic options, option trading strategies, jump diffusion and exponential Lévy alternative models, and the Kelly criterion for maximizing investment growth.

Novel features:

  • inclusion of both portfolio theory and contingent claim analysis in a single text
  • pricing methodology for exotic options
  • expectation analysis of option trading strategies
  • pricing models that transcend the Black–Scholes framework
  • optimizing investment allocations
  • concepts thoroughly explored through numerous simulation exercises
  • numerous worked examples and illustrations

The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language.

The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language.

Also by the author: (with F. Mendivil) Explorations in Monte Carlo, ©2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, ©2009, ISBN: 978-0-387-70983-3.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications.

The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methods allows for students to travel a short road from theory to practical applications.

Coverage includes investment science, mean-variance portfolio theory, option pricing principles, exotic options, option trading strategies, jump diffusion and exponential Lévy alternative models, and the Kelly criterion for maximizing investment growth.

Novel features:

The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language.

The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language.

Also by the author: (with F. Mendivil) Explorations in Monte Carlo, ©2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, ©2009, ISBN: 978-0-387-70983-3.

More books from Springer New York

Cover of the book Focal-Plane Sensor-Processor Chips by Ronald W. Shonkwiler
Cover of the book Metal-Dielectric Interfaces in Gigascale Electronics by Ronald W. Shonkwiler
Cover of the book Molecular Communications and Nanonetworks by Ronald W. Shonkwiler
Cover of the book Effective Risk Communication by Ronald W. Shonkwiler
Cover of the book Energy Policy Modeling in the 21st Century by Ronald W. Shonkwiler
Cover of the book Medical Imaging Technology by Ronald W. Shonkwiler
Cover of the book The Fractal Geometry of the Brain by Ronald W. Shonkwiler
Cover of the book Hypoxia and Cancer by Ronald W. Shonkwiler
Cover of the book Trace Elements in Terrestrial Environments by Ronald W. Shonkwiler
Cover of the book Women with Cancer by Ronald W. Shonkwiler
Cover of the book Continuous-Time Low-Pass Filters for Integrated Wideband Radio Receivers by Ronald W. Shonkwiler
Cover of the book Computational Challenges in the Geosciences by Ronald W. Shonkwiler
Cover of the book Fluid, Electrolyte and Acid-Base Disorders by Ronald W. Shonkwiler
Cover of the book The Impacts of Biofuels on the Economy, Environment, and Poverty by Ronald W. Shonkwiler
Cover of the book The Computing Dendrite by Ronald W. Shonkwiler
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy