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Finance with Monte Carlo

Ronald W. Shonkwiler
Publisher: 
Springer
Publication Date: 
2013
Number of Pages: 
250
Format: 
Hardcover
Series: 
Springer Undergraduate Texts in Mathematics and Technology
Price: 
59.99
ISBN: 
9781461485100
Category: 
Textbook
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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.

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