Finance with Monte Carlo 2013 Edition Contributor(s): Shonkwiler, Ronald W. (Author) |
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ISBN: 146148510X ISBN-13: 9781461485100 Publisher: Springer OUR PRICE: $75.99 Product Type: Hardcover - Other Formats Published: September 2013 |
Additional Information |
BISAC Categories: - Mathematics | Applied - Mathematics | Probability & Statistics - General - Mathematics | Number Systems |
Dewey: 003.3 |
Series: Springer Undergraduate Texts in Mathematics and Technology |
Physical Information: 0.8" H x 7.2" W x 10.1" (1.89 lbs) 250 pages |
Descriptions, Reviews, Etc. |
Publisher Description: 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 L vy alternative models, and the Kelly criterion for maximizing investment growth. Novel features:
Also by the author: (with F. Mendivil) Explorations in Monte Carlo, (c)2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, (c)2009, ISBN: 978-0-387-70983-3. |