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Use Of The Monte Carlo Simulation In Valuation Of European And American Call Options
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Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Book Synopsis Monte Carlo Simulation and Finance by : Don L. McLeish
Download or read book Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
Book Synopsis Numerical Methods in Finance by : René Carmona
Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.
Book Synopsis An Introduction to Financial Option Valuation by : Desmond J. Higham
Download or read book An Introduction to Financial Option Valuation written by Desmond J. Higham and published by Cambridge University Press. This book was released on 2004-04-15 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black–Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.
Book Synopsis Monte Carlo Simulation with Applications to Finance by : Hui Wang
Download or read book Monte Carlo Simulation with Applications to Finance written by Hui Wang and published by CRC Press. This book was released on 2012-05-22 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry. The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes. Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB® coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods by : Ronald Cools
Download or read book Monte Carlo and Quasi-Monte Carlo Methods written by Ronald Cools and published by Springer. This book was released on 2016-06-13 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Book Synopsis Pricing American Options Using Monte Carlo Simulation by : Victoria Zhanna Averbukh
Download or read book Pricing American Options Using Monte Carlo Simulation written by Victoria Zhanna Averbukh and published by . This book was released on 1997 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Complete Guide to Option Pricing Formulas by : Espen Gaarder Haug
Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.
Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Book Synopsis Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024) by : Khaled Elbagory
Download or read book Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024) written by Khaled Elbagory and published by Springer Nature. This book was released on 2024 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Python for Finance by : Yves Hilpisch
Download or read book Python for Finance written by Yves Hilpisch and published by O'Reilly Media. This book was released on 2018-12-05 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial industry has recently adopted Python at a tremendous rate, with some of the largest investment banks and hedge funds using it to build core trading and risk management systems. Updated for Python 3, the second edition of this hands-on book helps you get started with the language, guiding developers and quantitative analysts through Python libraries and tools for building financial applications and interactive financial analytics. Using practical examples throughout the book, author Yves Hilpisch also shows you how to develop a full-fledged framework for Monte Carlo simulation-based derivatives and risk analytics, based on a large, realistic case study. Much of the book uses interactive IPython Notebooks.
Book Synopsis Multi-Asset Risk Modeling by : Morton Glantz
Download or read book Multi-Asset Risk Modeling written by Morton Glantz and published by Academic Press. This book was released on 2013-12-03 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. - Covers all asset classes - Provides mathematical theoretical explanations of risk as well as practical examples with empirical data - Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities
Book Synopsis Computational Methods for Option Pricing by : Yves Achdou
Download or read book Computational Methods for Option Pricing written by Yves Achdou and published by SIAM. This book was released on 2005-01-01 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.
Book Synopsis Python for Finance Cookbook by : Eryk Lewinson
Download or read book Python for Finance Cookbook written by Eryk Lewinson and published by Packt Publishing Ltd. This book was released on 2022-12-30 with total page 741 pages. Available in PDF, EPUB and Kindle. Book excerpt: Use modern Python libraries such as pandas, NumPy, and scikit-learn and popular machine learning and deep learning methods to solve financial modeling problems Purchase of the print or Kindle book includes a free eBook in the PDF format Key FeaturesExplore unique recipes for financial data processing and analysis with PythonApply classical and machine learning approaches to financial time series analysisCalculate various technical analysis indicators and backtest trading strategiesBook Description Python is one of the most popular programming languages in the financial industry, with a huge collection of accompanying libraries. In this new edition of the Python for Finance Cookbook, you will explore classical quantitative finance approaches to data modeling, such as GARCH, CAPM, factor models, as well as modern machine learning and deep learning solutions. You will use popular Python libraries that, in a few lines of code, provide the means to quickly process, analyze, and draw conclusions from financial data. In this new edition, more emphasis was put on exploratory data analysis to help you visualize and better understand financial data. While doing so, you will also learn how to use Streamlit to create elegant, interactive web applications to present the results of technical analyses. Using the recipes in this book, you will become proficient in financial data analysis, be it for personal or professional projects. You will also understand which potential issues to expect with such analyses and, more importantly, how to overcome them. What you will learnPreprocess, analyze, and visualize financial dataExplore time series modeling with statistical (exponential smoothing, ARIMA) and machine learning modelsUncover advanced time series forecasting algorithms such as Meta's ProphetUse Monte Carlo simulations for derivatives valuation and risk assessmentExplore volatility modeling using univariate and multivariate GARCH modelsInvestigate various approaches to asset allocationLearn how to approach ML-projects using an example of default predictionExplore modern deep learning models such as Google's TabNet, Amazon's DeepAR and NeuralProphetWho this book is for This book is intended for financial analysts, data analysts and scientists, and Python developers with a familiarity with financial concepts. You'll learn how to correctly use advanced approaches for analysis, avoid potential pitfalls and common mistakes, and reach correct conclusions for a broad range of finance problems. Working knowledge of the Python programming language (particularly libraries such as pandas and NumPy) is necessary.
Book Synopsis Real Options and Investment Under Uncertainty by : Eduardo S. Schwartz
Download or read book Real Options and Investment Under Uncertainty written by Eduardo S. Schwartz and published by MIT Press. This book was released on 2004 with total page 890 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of investment under uncertainty was stagnant for several decades until developments in real options revitalized the field. The topics covered in this book include the reasons behind the under-investment programme.
Book Synopsis Real Options Analysis by : Johnathan Mun
Download or read book Real Options Analysis written by Johnathan Mun and published by John Wiley & Sons. This book was released on 2012-07-02 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Mun demystifies real options analysis and delivers a powerful, pragmatic guide for decision-makers and practitioners alike. Finally, there is a book that equips professionals to easily recognize, value, and seize real options in the world around them." --Jim Schreckengast, Senior VP, R&D Strategy, Gemplus International SA, France Completely revised and updated to meet the challenges of today's dynamic business environment, Real Options Analysis, Second Edition offers you a fresh look at evaluating capital investment strategies by taking the strategic decision-making process into consideration. This comprehensive guide provides both a qualitative and quantitative description of real options; the methods used in solving real options; why and when they are used; and the applicability of these methods in decision making.
Book Synopsis Business Impacts of COVID-19 by : Tomasz Bernat
Download or read book Business Impacts of COVID-19 written by Tomasz Bernat and published by Taylor & Francis. This book was released on 2023-07-21 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: The coronavirus disease (COVID-19) pandemic has caused serious disruptions to the economy and business activities. The COVID-19 crisis has also exposed important weaknesses in business and supply chains. It pointed to specific sectors of the economy, primarily related to services, that suffered the most. On the other hand, it has highlighted the great flexibility of the activities of entrepreneurs in their attempts to fight the crisis. The role of government has also been important in tackling this pandemic crisis to contain the epidemic and adopt activities to help entrepreneurs who were most affected by the crisis. Numerous national aid and recovery packages have been announced to support businesses and workers. At the same time, financial decisions were made at the international level, resulting in the mobilization of huge funds that were intended to support the functioning of enterprises. This book shares observations and conclusions from contemporary research and analyses, as well as from personal experiences in creating and implementing anti-crisis solutions in economies and enterprises caused by the COVID-19 pandemic on the economy and its entities. It will be of interest to researchers, academics, policymakers, and students in the fields of international business, economics, crisis management, and entrepreneurship.
