Finance with Monte Carlo PDF
by Ronald W. Shonkwiler
Part of the Springer Undergraduate Texts in Mathematics and Technology series
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 Levy alternative models, and the Kelly criterion for maximizing investment growth.
Novel features:
- inclusion of both portfolio theory and contingent claim analysis in a single text
- pricing methodology for exotic options
- expectation analysis of option trading strategies
- pricing models that transcend the Black-Scholes framework
- optimizing investment allocations
- concepts thoroughly explored through numerous simulation exercises
- numerous worked examples and illustrations
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.
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Springer New York
- Publication Date:17/09/2013
- Category:
- ISBN:9781461485117
Other Formats
- Paperback / softback from £37.59
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Springer New York
- Publication Date:17/09/2013
- Category:
- ISBN:9781461485117