Research and Markets: Stochastic Simulation and Applications in Finance with MATLAB

DUBLIN, Ireland—(BUSINESS WIRE)—January 23, 2009— Research and Markets ( http://www.researchandmarkets.com/research/40d9cd/stochastic_simulat) has announced the addition of John Wiley and Sons Ltd's new report " Stochastic Simulation and Applications in Finance with MATLAB Programs" to their offering.

Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering.

The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging.

The book also includes an accompanying CD-ROM which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.

Key Topics Covered:

  • Preface.
  • Chapter 1: Introduction to probability.
  • Chapter 2: Introduction to random variables.
  • Chapter 3: Random sequences.
  • Chapter 4: Introduction to computer simulation of random variables.
  • Chapter 5: Foundations of Monte Carlo simulations.
  • Chapter 6: Fundamentals of Quasi Monte Carlo (QMC) simulations.
  • Chapter 7: Introduction to random processes.
  • Chapter 8: Solution of stochastic differential equations.
  • Chapter 9: General approach to the valuation of contingent claims.
  • Chapter 10: Pricing options using Monte Carlo simulations.
  • Chapter 11: Term structure of interest rates and interest rate derivatives.
  • Chapter 12: Credit risk and the valuation of corporate securities.
  • Chapter 13: Valuation of portfolios of financial guarantees.
  • Chapter 14: Risk management and Value at Risk (VaR).
  • Chapter 15: VaR and Principal Components Analysis (PCA).
  • Appendix A: Review of mathematics.
  • Appendix B: MATLABøR Functions.
  • Bibliography.
  • Index.

For more information visit http://www.researchandmarkets.com/research/40d9cd/stochastic_simulat.



Contact:

Research and Markets
Laura Wood
Senior Manager
press@researchandmarkets.com
Fax from USA: 646-607-1907
Fax from rest of the world: +353-1-481-1716




Review Article Be the first to review this article
SolidCAM: 10K CAM Contest

Featured Video
Editorial
Jeff RoweJeff's MCAD Blogging
by Jeff Rowe
GE Additive’s Big Plans For Metal AM
Jobs
Mechanical Engineer II - Requisition ID 090445 for L3 Technologies at New York, NY
ECAD Designer - Data Connectivity for Delphi at Auburn Hills, MI
Estimator / Bidder for Rulon International at Saint Augustine, FL
Upcoming Events
33rd Annual Coordinate Metrology Society Conference at Snowbird UT - Jul 17 - 21, 2017
EMO Hannover 2017 at Hannover Germany - Sep 18 - 23, 2017
The 30th Annual Integrated Process Excellence Symposium & Training at Wyndham Grand Bonnet Creek Resort Orlando FL - Sep 18 - 20, 2017
Additive Manufacturing Conference 2017 at Knoxville Convention Center 701 Henley Street Knoxville TN - Oct 10 - 12, 2017



Internet Business Systems © 2017 Internet Business Systems, Inc.
595 Millich Dr., Suite 216, Campbell, CA 95008
+1 (408)-337-6870 — Contact Us, or visit our other sites:
AECCafe - Architectural Design and Engineering EDACafe - Electronic Design Automation GISCafe - Geographical Information Services TechJobsCafe - Technical Jobs and Resumes ShareCG - Share Computer Graphic (CG) Animation, 3D Art and 3D Models
  Privacy Policy Advertise