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Monte Carlo Methods in Finance

ISBN: 978-0-471-49741-7
Hardcover
304 pages
April 2002
List Price: US $173.00
Government Price: US $115.84
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Monte Carlo Methods in Finance (047149741X) cover image

Preface

Acknowledgements

Mathematical Notation

Introduction

The Mathematics Behind Monte Carlo Methods

Stochastic Dynamics

Process-driven Sampling

Correlation and Co-movement

Salvaging a Linear Correlation Matrix

Pseudo-random Numbers

Low-discrepancy Numbers

Non-uniform Variates

Variance Reduction Techniques

Greeks

Monte Carlo in the BGM/J Framework

Non-recombining Trees

Miscellanea

Bibliography

Index
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