Monte Carlo simulation with applications to finance / Hui Wang

By:

Wang, Hui

Material type: Text

TextPublication details: Boca Raton : CRC Press, 2012Description: ix, 282p. 24cmISBN:

9781439858240

Subject(s):

DDC classification:

332.01518282 WAN

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Book	Calcutta	332.01518282 WAN (Browse shelf(Opens below))	Available		IIMC-136722

Total holds: 0

This book provides a self-contained introduction to Monte Carlo methods in financial engineering. It presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. The text concludes with stochastic calculus and the simulation of diffusion processes. Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics.

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