Hiển thị biểu ghi dạng vắn tắt
Stochastic simulation and applications in finance with MATLAB programs
dc.contributor.author | Huynh, Huu Tue | |
dc.contributor.author | Lai, Van Son | |
dc.contributor.author | Soumaré, Issouf | |
dc.date.issued | 2008 | |
dc.identifier.isbn | 978-0-470-72538-2 | |
dc.identifier.uri | https://thuvienso.hoasen.edu.vn/handle/123456789/9548 | |
dc.description | xvi, 338 p. : ill. | |
dc.description.abstract | The 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.iso | en | |
dc.publisher | John Wiley & Sons, Ltd | |
dc.subject | Finance | |
dc.subject.other | Stochastic models | |
dc.subject.other | Mathematical models | |
dc.title | Stochastic simulation and applications in finance with MATLAB programs | |
dc.type | Book |