Finance with Monte Carlo

DOI10.1007/978-1-4614-8511-7MaRDI QIDQ5327416zbMATH OpenOpenAlexFDO

Authors R. Shonkwiler

Publication date 7 August 2013

Published in Springer Undergraduate Texts in Mathematics and Technology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-8511-7

zbMATH Keywords

binomial lattice modelBlack-Scholes formulaBrownian motion modelEuropean and American optionsexotic optionsfinancefinancial engineeringLévy measuresLévy processmarket portfoliomean-variance theoryMonte Carlo methodsrisk-free ratestock priceWiener process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical analysis or methods applied to Markov chains (65C40) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(4)

• Monte Carlo simulation with applications to finance.
• Monte Carlo Computation in Finance
• Monte Carlo methods and models in finance and insurance.
• The combined Monte Carlo method to calculate the capital of the optimal portfolio in nonlinear models of financial indexes

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