Stochastic simulation and applications in finance with Matlab programs. With CD-ROM.

zbMATH Open1177.60006MaRDI QIDQ3619786FDOQ3619786

Authors: Huu Tue Huynh, Van Son Lai, Issouf Soumaré 

Publication date: 9 April 2009

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zbMATH Keywords

Monte Carlo methodsMATLABValue at RiskFinanceCredit RiskInterest Rate DerivativesOption Pricing

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Monte Carlo methods (65C05) Actuarial science and mathematical finance (91Gxx)

Cited In (7)

• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• The volatility target effect in structured investment products with capital protection
• Simulation and Monte Carlo
• Multi-stage distributionally robust optimization with risk aversion
• Monte Carlo simulation and finance.
• Stochastic modeling in finance and Monte Carlo simulations with R. III: Stochastic log-linear model
• Infinite horizon impulse control problem with jumps and continuous switching costs

Uses Software

• Matlab

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