Finance with Monte Carlo [electronic resource] /
by Ronald W. Shonkwiler.
- XIX, 250 p. 70 illus., 17 illus. in color. online resource.
- Springer Undergraduate Texts in Mathematics and Technology, 1867-5506 .
1. Geometric Brownian Motion and the Efficient Market Hypothesis -- 2. Return and Risk -- 3. Forward and Option Contracts and their Pricing -- 4. Pricing Exotic Options -- 5. Option Trading Strategies -- 6. Alternative to GBM Prices -- 7. Kelly's Criterion -- Appendices -- A. Some Mathematical Background Topics -- B. Stochastic Calculus -- C. Convergence of the Binomial Method -- D. Variance Reduction Techniques -- E. Shell Sort -- F. Next Day Prices Program -- References -- List of Notation -- List of Algorithms -- Index.
Mathematics. Finance. Numerical analysis. Distribution (Probability theory). Mathematics. Quantitative Finance. Mathematical Modeling and Industrial Mathematics. Probability Theory and Stochastic Processes. Numerical Analysis.