The Resource Finance with Monte Carlo, by Ronald W. Shonkwiler, (electronic resource)

Finance with Monte Carlo, by Ronald W. Shonkwiler, (electronic resource)

Label
Finance with Monte Carlo
Title
Finance with Monte Carlo
Statement of responsibility
by Ronald W. Shonkwiler
Creator
Contributor
Author
Provider
Subject
Language
eng
Summary
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
Member of
http://library.link/vocab/creatorName
Shonkwiler, Ronald W
Image bit depth
0
LC call number
HB135-147
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
SpringerLink
Series statement
Springer Undergraduate Texts in Mathematics and Technology,
http://library.link/vocab/subjectName
  • Mathematics
  • Finance
  • Numerical analysis
  • Distribution (Probability theory)
  • Mathematics
  • Quantitative Finance
  • Mathematical Modeling and Industrial Mathematics
  • Probability Theory and Stochastic Processes
  • Numerical Analysis
Label
Finance with Monte Carlo, by Ronald W. Shonkwiler, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
XIX, 250 p. 70 illus., 17 illus. in color.
File format
multiple file formats
Form of item
electronic
Isbn
9781461485117
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4614-8511-7
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-1-4614-8511-7
Label
Finance with Monte Carlo, by Ronald W. Shonkwiler, (electronic resource)
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
XIX, 250 p. 70 illus., 17 illus. in color.
File format
multiple file formats
Form of item
electronic
Isbn
9781461485117
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4614-8511-7
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-1-4614-8511-7

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