Monte Carlo methods

Name: Monte Carlo methods
Brand: VDM Verlag Dr. Müller
SKU: 9783639204018
Price: 246.38 PLN
Availability: InStock

An Application to Pricing Interest Rate Derivatives

Autor: Roman Frey

Język:

Oprawa: Miękka

Wydawca: VDM Verlag Dr. Müller

Dostępność: Na zamówienie

Wysyłamy za 17-27 dni

246.38 zł

With rising complexity and diversity of upcoming derivative securities, analytically tractable or cl...

Informacje o książce

Autor

Roman Frey

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2009

strony

136

EAN

9783639204018

Enbook ID

06828386

Wydawca

VDM Verlag Dr. Müller

Waga

221

Wymiary

150 x 220 x 8

Pełny opis

With rising complexity and diversity of upcoming derivative securities, analytically tractable or closed-form pricing methods are difficult to find or sometimes even inexistent. Monte Carlo simulation represents a powerful and flexible alternative pricing method. The goal of this book is to discuss and implement the fundamentals of Monte Carlo methods and to introduce the wide use of this approach in finance, especially in pricing interest rate derivatives. The book provides an extensive treatment of the entire Monte Carlo simulation theory and is roughly divided into three parts. The first part focuses on random number generation and on increasing efficiency methods for Monte Carlo, such as variance reduction techniques or low-discrepancy sequences. In the following part different term structure models are developed and the link to the simulation theory is established. In the third and final part ordinary and extended Monte Carlo algorithms are implemented and corresponding simulations are run in order to analyze Bermudan swaption prices in detail. The target audience of this book is finance graduate students or professionals with similar background and interests.

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Monte Carlo methods

An Application to Pricing Interest Rate Derivatives

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