Stochastic Simulation And Applications In Finance With Matlab Programs

Stochastic Simulation And Applications In Finance With Matlab Programs Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Stochastic Simulation And Applications In Finance With Matlab Programs book. This book definitely worth reading, it is an incredibly well-written.

Stochastic Simulation and Applications in Finance with MATLAB Programs

Huu Tue Huynh,Van Son Lai,Issouf Soumare

Author : Huu Tue Huynh,Van Son Lai,Issouf Soumare
Publisher : John Wiley & Sons
Page : 354 pages
File Size : 45,5 Mb
Release : 2011-11-21
Category : Business & Economics
ISBN : 9780470722138

Get Book

Stochastic Simulation and Applications in Finance with MATLAB Programs by Huu Tue Huynh,Van Son Lai,Issouf Soumare Pdf

Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.

Simulation and Optimization in Finance

Dessislava A. Pachamanova,Frank J. Fabozzi

Author : Dessislava A. Pachamanova,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 786 pages
File Size : 47,8 Mb
Release : 2010-09-23
Category : Business & Economics
ISBN : 9780470882122

Get Book

Simulation and Optimization in Finance by Dessislava A. Pachamanova,Frank J. Fabozzi Pdf

An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities Includes models and code in both spreadsheet-based software (@RISK, Solver, Evolver, VBA) and mathematical modeling software (MATLAB) Filled with in-depth insights and practical advice, Simulation and Optimization Modeling in Finance offers essential guidance on some of the most important topics in financial management.

Handbook of Computational Finance

Jin-Chuan Duan,Wolfgang Karl Härdle,James E. Gentle

Author : Jin-Chuan Duan,Wolfgang Karl Härdle,James E. Gentle
Publisher : Springer Science & Business Media
Page : 804 pages
File Size : 55,9 Mb
Release : 2011-10-25
Category : Business & Economics
ISBN : 3642172547

Get Book

Handbook of Computational Finance by Jin-Chuan Duan,Wolfgang Karl Härdle,James E. Gentle Pdf

Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Term Structure of Profit Rates of Sukuk

Adesina-Uthman Ganiyat

Author : Adesina-Uthman Ganiyat
Publisher : Cambridge Scholars Publishing
Page : 340 pages
File Size : 50,8 Mb
Release : 2015-06-18
Category : Business & Economics
ISBN : 9781443879866

Get Book

Term Structure of Profit Rates of Sukuk by Adesina-Uthman Ganiyat Pdf

This book explores several non-traditional and under-researched fields in Islamic finance through its investigations into how the newly-emergent financial instrument Sukuk behaves in the broader field of finite-period financing and pricing in the market place. It provides readers with didactic information on the fundamental theories of term structure and in-depth information on this nascent financial instrument in the Islamic capital market. The book employs one and two-factor models of term structure in order to analyse sovereign and corporate Sukuk bonds from the world’s leading Islamic economy, Malaysia. For the purposes of the study, the book establishes “profit rate yield curves” in the tradition of the conventional bond yield curve in order to define different risk classes of Sukuk. The dynamics of term structure of profit rates are captured with the inclusion of volatility as a factor in one of the models. The book provides informative case studies for interested students and researchers in the field of financial economics and mathematical finance. It also provides examples that will serve to simplify future research in term structure analysis and reduce its computational inefficiency.

Numerical Methods in Finance and Economics

Paolo Brandimarte

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Page : 696 pages
File Size : 42,9 Mb
Release : 2013-06-06
Category : Mathematics
ISBN : 9781118625576

Get Book

Numerical Methods in Finance and Economics by Paolo Brandimarte Pdf

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

Monte Carlo Simulation with Applications to Finance

Hui Wang

Author : Hui Wang
Publisher : CRC Press
Page : 292 pages
File Size : 42,9 Mb
Release : 2012-05-22
Category : Business & Economics
ISBN : 9781466566903

Get Book

Monte Carlo Simulation with Applications to Finance by Hui Wang Pdf

Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry. The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes. Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB® coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.

Numerical Methods in Finance

Paolo Brandimarte

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Page : 429 pages
File Size : 40,6 Mb
Release : 2003-10-13
Category : Mathematics
ISBN : 9780471461692

Get Book

Numerical Methods in Finance by Paolo Brandimarte Pdf

Balanced coverage of the methodology and theory of numerical methods in finance Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications. Paolo Brandimarte covers the basics of finance and numerical analysis and provides background material that suits the needs of students from both financial engineering and economics perspectives. Classical numerical analysis methods; optimization, including less familiar topics such as stochastic and integer programming; simulation, including low discrepancy sequences; and partial differential equations are covered in detail. Extensive illustrative examples of the application of all of these methodologies are also provided. The text is primarily focused on MATLAB-based application, but also includes descriptions of other readily available toolboxes that are relevant to finance. Helpful appendices on the basics of MATLAB and probability theory round out this balanced coverage. Accessible for students-yet still a useful reference for practitioners-Numerical Methods in Finance offers an expert introduction to powerful tools in finance.

Asset-Liability and Liquidity Management

Pooya Farahvash

Author : Pooya Farahvash
Publisher : John Wiley & Sons
Page : 1056 pages
File Size : 47,6 Mb
Release : 2020-05-26
Category : Business & Economics
ISBN : 9781119701910

Get Book

Asset-Liability and Liquidity Management by Pooya Farahvash Pdf

Asset-Liability and Liquidity Management distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author’s own experience in the industry. The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses. Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including: The fundamentals of analytical finance Detailed explanations of financial valuation models for a variety of products The principle of economic value of equity and value-at-risk The principle of net interest income and earnings-at-risk Liquidity risk Funds transfer pricing A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.

Handbook in Monte Carlo Simulation

Paolo Brandimarte

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Page : 688 pages
File Size : 51,8 Mb
Release : 2014-06-17
Category : Business & Economics
ISBN : 9781118593646

Get Book

Handbook in Monte Carlo Simulation by Paolo Brandimarte Pdf

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

Whose Credit Line is it Anyway

Tryggvi Gudmundsson

Author : Tryggvi Gudmundsson
Publisher : International Monetary Fund
Page : 27 pages
File Size : 41,9 Mb
Release : 2016-11-16
Category : Business & Economics
ISBN : 9781475554700

Get Book

Whose Credit Line is it Anyway by Tryggvi Gudmundsson Pdf

The post-crisis financial sector framework reform remains incomplete. While capital and liquidity requirements have been strengthened, doubts remain over other aspects, including the fact that expectations of government support for systemically-important banks (SIBs) remain intact. In this paper, we use a jump diffusion option-pricing approach to provide estimates of implicit subsidies gained by these banks due to the expectation of protection to creditors provided by governments. While these subsidies have declined in the post-crisis era as volatility has declined and capital levels have increased, they remain non-trivial. Even conservative parameterizations of default and loss probabilities lead to macroeconomically significant figures.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Cornelis W Oosterlee,Lech A Grzelak

Author : Cornelis W Oosterlee,Lech A Grzelak
Publisher : World Scientific
Page : 1310 pages
File Size : 49,5 Mb
Release : 2019-10-29
Category : Business & Economics
ISBN : 9781786347961

Get Book

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by Cornelis W Oosterlee,Lech A Grzelak Pdf

This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

Stochastic Modeling in Economics and Finance

Jitka Dupacova,J. Hurt,J. Stepan

Author : Jitka Dupacova,J. Hurt,J. Stepan
Publisher : Springer Science & Business Media
Page : 394 pages
File Size : 40,8 Mb
Release : 2006-04-18
Category : Mathematics
ISBN : 9780306481673

Get Book

Stochastic Modeling in Economics and Finance by Jitka Dupacova,J. Hurt,J. Stepan Pdf

In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.

The Mathematics of Derivatives Securities with Applications in MATLAB

Mario Cerrato

Author : Mario Cerrato
Publisher : John Wiley & Sons
Page : 201 pages
File Size : 49,6 Mb
Release : 2012-02-24
Category : Business & Economics
ISBN : 9781119973416

Get Book

The Mathematics of Derivatives Securities with Applications in MATLAB by Mario Cerrato Pdf

Quantitative Finance is expanding rapidly. One of the aspects of the recent financial crisis is that, given the complexity of financial products, the demand for people with high numeracy skills is likely to grow and this means more recognition will be given to Quantitative Finance in existing and new course structures worldwide. Evidence has suggested that many holders of complex financial securities before the financial crisis did not have in-house experts or rely on a third-party in order to assess the risk exposure of their investments. Therefore, this experience shows the need for better understanding of risk associate with complex financial securities in the future. The Mathematics of Derivative Securities with Applications in MATLAB provides readers with an introduction to probability theory, stochastic calculus and stochastic processes, followed by discussion on the application of that knowledge to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility and an introduction to interest rates modelling. The book begins with an overview of MATLAB and the various components that will be used alongside it throughout the textbook. Following this, the first part of the book is an in depth introduction to Probability theory, Stochastic Processes and Ito Calculus and Ito Integral. This is essential to fully understand some of the mathematical concepts used in the following part of the book. The second part focuses on financial engineering and guides the reader through the fundamental theorem of asset pricing using the Black and Scholes Economy and Formula, Options Pricing through European and American style options, summaries of Exotic Options, Stochastic Volatility Models and Interest rate Modelling. Topics covered in this part are explained using MATLAB codes showing how the theoretical models are used practically. Authored from an academic’s perspective, the book discusses complex analytical issues and intricate financial instruments in a way that it is accessible to postgraduate students with or without a previous background in probability theory and finance. It is written to be the ideal primary reference book or a perfect companion to other related works. The book uses clear and detailed mathematical explanation accompanied by examples involving real case scenarios throughout and provides MATLAB codes for a variety of topics.

Quantitative Finance

Maria Cristina Mariani,Ionut Florescu

Author : Maria Cristina Mariani,Ionut Florescu
Publisher : John Wiley & Sons
Page : 496 pages
File Size : 40,8 Mb
Release : 2019-12-12
Category : Business & Economics
ISBN : 9781118629956

Get Book

Quantitative Finance by Maria Cristina Mariani,Ionut Florescu Pdf

Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations. Classroom-tested over a three-year period with the input of students and experienced practitioners Emphasizes the volatility of financial analyses and interpretations Weaves theory with application throughout the book Utilizes R and MATLAB software programs Presents pseudo-algorithms for readers who do not have access to any particular programming system Supplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.

Business Economics and Finance with MATLAB, GIS, and Simulation Models

Patrick L. Anderson

Author : Patrick L. Anderson
Publisher : CRC Press
Page : 499 pages
File Size : 43,9 Mb
Release : 2004-07-27
Category : Mathematics
ISBN : 9780203494653

Get Book

Business Economics and Finance with MATLAB, GIS, and Simulation Models by Patrick L. Anderson Pdf

This book takes recent theoretical advances in Finance and Economics and shows how they can be implemented in the real world. It presents tactics for using mathematical and simulation models to solve complex tasks of forecasting income, valuing businesses, predicting retail sales, and evaluating markets and tax and regulatory problems. Busine

Stochastic Simulation And Applications In Finance With Matlab Programs

Stochastic Simulation and Applications in Finance with MATLAB Programs by Huu Tue Huynh,Van Son Lai,Issouf Soumare Pdf

Simulation and Optimization in Finance by Dessislava A. Pachamanova,Frank J. Fabozzi Pdf

Handbook of Computational Finance by Jin-Chuan Duan,Wolfgang Karl Härdle,James E. Gentle Pdf

Term Structure of Profit Rates of Sukuk by Adesina-Uthman Ganiyat Pdf

Numerical Methods in Finance and Economics by Paolo Brandimarte Pdf

Monte Carlo Simulation with Applications to Finance by Hui Wang Pdf

Numerical Methods in Finance by Paolo Brandimarte Pdf

Asset-Liability and Liquidity Management by Pooya Farahvash Pdf

Handbook in Monte Carlo Simulation by Paolo Brandimarte Pdf

Whose Credit Line is it Anyway by Tryggvi Gudmundsson Pdf

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by Cornelis W Oosterlee,Lech A Grzelak Pdf

Stochastic Modeling in Economics and Finance by Jitka Dupacova,J. Hurt,J. Stepan Pdf

The Mathematics of Derivatives Securities with Applications in MATLAB by Mario Cerrato Pdf

Quantitative Finance by Maria Cristina Mariani,Ionut Florescu Pdf

Business Economics and Finance with MATLAB, GIS, and Simulation Models by Patrick L. Anderson Pdf

Recent Posts