Monte Carlo simulation with applications to finance.

zbMATH Open1258.65005MaRDI QIDQ3102802FDOQ3102802

Authors: Hui Wang 

Publication date: 25 November 2011

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zbMATH Keywords

monographsensitivity analysiscentral limit theoremCholesky factorizationconfidence intervalsimportance samplingrandom variablesalgorithmportfolioBrownian motiondiffusion processEuler schemeprobabilitystochastic differential equationsantithetic samplingMonte Carlo simulationsLamperti transformacceptance-rejection methodcross-entropy methodstochastic integralstochastic calculusfinancial derivativesvariance reduction techniquesstrong law of large numbercontrol variate methodsimulation of diffusionAsset pricingMilstein schemesBlack-Scholes modelsstock optionItô formulagenerating random variables

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Stochastic models in economics (91B70) General theory of distribution modulo (1) (11K06) Pseudo-random numbers; Monte Carlo methods (11K45)

Cited In (11)

• Finance with Monte Carlo
• A Cross-Entropy Scheme for Mixtures
• Stochastic simulation and applications in finance with Matlab programs. With CD-ROM.
• Monte Carlo Computation in Finance
• Simulation and Monte Carlo
• Title not available (Why is that?)
• Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
• Monte Carlo simulation and finance.
• Minimax perfect stopping rules for selling an asset near its ultimate maximum
• Title not available (Why is that?)
• Monte Carlo methods and models in finance and insurance.

Uses Software

• Matlab

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