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Finance with Monte Carlo
Paperback
Series: Springer Undergraduate Texts in Mathematics and Technology
General MathematicsProbability & Statistics
ISBN13: 9781493943340
Publisher: Springer
Published: Aug 11 2016
Pages: 250
Weight: 1.05
Height: 0.57 Width: 7.00 Depth: 10.00
Language: English
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
Also by the author: (with F. Mendivil) Explorations in Monte Carlo, (c)2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, (c)2009, ISBN: 978-0-387-70983-3.
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