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dc.contributor.authorHuynh, Huu Tue
dc.contributor.authorLai, Van Son
dc.contributor.authorSoumaré, Issouf
dc.date.issued2008
dc.identifier.isbn978-0-470-72538-2
dc.identifier.urihttps://thuvienso.hoasen.edu.vn/handle/123456789/9548
dc.descriptionxvi, 338 p. : ill.
dc.description.abstractThe book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging.
dc.language.isoen
dc.publisherJohn Wiley & Sons, Ltd
dc.subjectFinance
dc.subject.otherStochastic models
dc.subject.otherMathematical models
dc.titleStochastic simulation and applications in finance with MATLAB programs
dc.typeBook


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