Huynh / Lai / Soumare Stochastic Simulation and Applications in Finance with MATLAB Programs

1. Auflage 2011
ISBN: 978-0-470-72213-8
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 354 Seiten, E-Book

Reihe: Wiley Finance Series

Stochastic Simulation and Applications in Finance with MATLABPrograms explains the fundamentals of Monte Carlo simulationtechniques, their use in the numerical resolution of stochasticdifferential equations and their current applications in finance.Building on an integrated approach, it provides a pedagogicaltreatment of the need-to-know materials in risk management andfinancial engineering.
The book takes readers through the basic concepts, covering themost recent research and problems in the area, including: thequadratic re-sampling technique, the Least Squared Method, thedynamic programming and Stratified State Aggregation technique toprice American options, the extreme value simulation technique toprice exotic options and the retrieval of volatility method toestimate Greeks. The authors also present modern termstructure of interest rate models and pricing swaptions with theBGM market model, and give a full explanation of corporatesecurities valuation and credit risk based on the structuralapproach of Merton. Case studies on financial guarantees illustratehow to implement the simulation techniques in pricing andhedging.
NOTE TO READER: The CD has been converted to URL. Go to thefollowing website www.wiley.com/go/huyhnstochasticwhich provides MATLAB programs for the practical examples and casestudies, which will give the reader confidence in using andadapting specific ways to solve problems involving stochasticprocesses in finance.

Autoren/Hrsg.

Huynh, Huu Tue

Lai, Van Son

Soumare, Issouf

Über Autor(innen)

HUU TUE HUYNH obtained his D.Sc. in communication theoryfrom Laval University, Canada. From 1969 to 2004 he was a facultymember of Laval University. He left Laval University to becomeChairman of the Department of data processing at the College ofTechnology of The Vietnam National University, Hanoi. Since 2007 hehas been Rector of the Bac Ha International University, Vietnam.His main recent research interest covers Fast Monte Carlo methodsand applications.
VAN SON LAI is Professor of Finance at the BusinessSchool of Laval University, Canada. He obtained his Ph.D. inFinance from the University of Georgia, USA and a master degree inwater resources engineering from the University of BritishColumbia, Canada. He is also a CFA charterholder from the CFAInstitute and a registered P.Eng. in the Province of BritishColumbia. An established teacher and researcher in banking,financial engineering, and risk management, he has extensivelypublished in mainstream banking, economics, and financejournals.
ISSOUF SOUMARÉ is currently associate professor offinance and managing director of the Laboratory for FinancialEngineering at Laval University. His research and teachinginterests included risk management, financial engineering andnumerical methods in finance. He has published his theoretical andapplied finance works in economics and finance journals. DrSoumaré holds a PhD in Finance from the University of BritishColumbia, Canada, MSc in Financial Engineering from LavalUniversity, Canada, MSc in Statistics and Quantitative Economicsand MSc and BSc in Applied Mathematics from Ivory Coast. He is alsoa certified Professional Risk Manager (PRM) of the ProfessionalRisk Managers' International Association (PRMIA).