Monte Carlo Simulation with Applications to Finance

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Developed from the author''s course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of o...
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Developed from the author''s course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of o...
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  • Formats: pdf
  • ISBN: 9781466566903
  • Publication Date: 22 May 2012
  • Publisher: CRC Press
  • Product language: English
  • Drm Setting: DRM