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＜電子ブック＞
Finance with Monte Carlo / by Ronald W. Shonkwiler
(Springer Undergraduate Texts in Mathematics and Technology. ISSN:18675514)

版	1st ed. 2013.
出版者	(New York, NY : Springer New York : Imprint: Springer)
出版年	2013
本文言語	英語
大きさ	XIX, 250 p. 70 illus., 17 illus. in color : online resource
著者標目	*Shonkwiler, Ronald W author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Mathematical models LCSH:Probabilities LCSH:Numerical analysis FREE:Mathematics in Business, Economics and Finance FREE:Mathematical Modeling and Industrial Mathematics FREE:Probability Theory FREE:Numerical Analysis
一般注記	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 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 Lévy 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 The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. Also by the author: (with F. Mendivil) Explorations in Monte Carlo, ©2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, ©2009, ISBN: 978-0-387-70983-3 HTTP:URL=https://doi.org/10.1007/978-1-4614-8511-7

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