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

MaRDI QIDQ3619786zbMATH OpenFDO

Authors Huu Tue Huynh, Van Son Lai, Issouf Soumaré

Publication date 9 April 2009

zbMATH Keywords

Credit RiskFinanceInterest Rate DerivativesMATLABMonte Carlo methodsOption PricingValue at Risk

Mathematics Subject Classification ID

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

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Cited in

(8)

• The volatility target effect in structured investment products with capital protection
• Multi-stage distributionally robust optimization with risk aversion
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• Simulation and Monte Carlo
• 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
• Stochastic differential equations based on Perona-Malik functions for image denoising

Describes a project that uses

Uses Software

• Matlab

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