Monte Carlo simulation with applications to finance.
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
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)
- Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
- Numerical probability. An introduction with applications to finance
- Finance with Monte Carlo
- Development of multi-forecasting model using Monte Carlo simulation coupled with wavelet denoising-ARIMA model
- Stochastic simulation and applications in finance with Matlab programs. With CD-ROM.
- Advanced simulation-based methods for optimal stopping and control. With applications in finance
- Monte Carlo Computation in Finance
- Simulation and Monte Carlo
- Monte-Carlo methods and stochastic processes. From linear to non-linear
- A cross-entropy scheme for mixtures
- scientific article; zbMATH DE number 1253576 (Why is no real title available?)
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
- Handbook in Monte Carlo simulation. Applications in financial engineering, risk management, and economics
- Monte Carlo simulation and finance.
- Minimax perfect stopping rules for selling an asset near its ultimate maximum
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Monte Carlo methods and models in finance and insurance.
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