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Stochastic simulation and applications in finance with MATLAB programs /

Bibliographic Details
Main Author:	Huynh, Huu Tue
Other Authors:	Lai, Van Son, Soumaré, Issouf
Format:	eBook
Language:	English
Published:	Chichester, England ; Hoboken, NJ : John Wiley & Sons, [2008]
Series:	Wiley Online Library. Wiley finance series.
Subjects:	MATLAB. Portfolio Selection. Stochastischer Prozess. Finance > Mathematical models. Stochastic models. BUSINESS & ECONOMICS / Finance. Electronic books.
Online Access:	Connect to the full text of this electronic book

Table of Contents:

1. Introduction to probability
2. Introduction to random variables
3. Random sequences
4. Introduction to computer simulation of random variables
5. Foundations of Monte Carlo simulations
6. Fundamentals of quasi Monte Carlo (QMC) simulations
7. Introduction to random processes
8. Solution of stochastic differential equations
9. General approach to the valuation of contingent claims
10. Pricing options using Monte Carlo simulations
11. Term structure of interest rates and interest rate derivatives
12. Credit risk and the valuation of corporate securities
13. Valuation of portfolios of financial guarantees
14. Risk management and value at risk (VaR)
15. Value at risk (VaR) and principal components analysis (PCA)
App. A. Review of mathematics
App. B. MATLAB functions.