Finance with Monte Carlo

• Main Author: Shonkwiler, Ronald W. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2013.
• Series: Springer Undergraduate Texts in Mathematics and Technology,
• Subjects: Mathematics.; Economics, Mathematical.; Numerical analysis.; Mathematical models.; Probabilities.; Quantitative Finance.; Mathematical Modeling and Industrial Mathematics.; Probability Theory and Stochastic Processes.; Numerical Analysis.

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 fi...

Table of Contents:

• 1. Geometric Brownian Motion and the Efficient Market Hypothesis
• 2. Return and Risk
• 3. Forward and Option Contracts and their Pricing
• 4. Pricing Exotic Options
• 5. Option Trading Strategies
• 6. Alternative to GBM Prices
• 7. Kelly's Criterion
• Appendices
• A. Some Mathematical Background Topics
• B. Stochastic Calculus
• C. Convergence of the Binomial Method
• D. Variance Reduction Techniques
• E. Shell Sort
• F. Next Day Prices Program
• References
• List of Notation
• List of Algorithms
• Index.