Stochastic simulation and applications in finance with MATLAB programs / (Record no. 1191952)

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007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
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fixed length control field 090106s2008 enka b 001 0 eng d
010 ## - LIBRARY OF CONGRESS CONTROL NUMBER
LC control number 2008038608
011 ## - LINKING LIBRARY OF CONGRESS CONTROL NUMBER [OBSOLETE]
Local cataloguing issues note BIB MATCHES WORLDCAT
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 0470725389
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020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780470725382
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035 ## - SYSTEM CONTROL NUMBER
System control number (ATU)b11425076
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)245598620
040 ## - CATALOGING SOURCE
Original cataloging agency DLC
Language of cataloging eng
Description conventions rda
Transcribing agency DLC
Modifying agency BWK
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-- YDXCP
-- BWX
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-- ATU
050 00 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG106
Item number .H89 2008
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.0151923
Edition number 22
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Huynh, Huu Tue,
Relator term author.
9 (RLIN) 1072236
245 10 - TITLE STATEMENT
Title Stochastic simulation and applications in finance with MATLAB programs /
Statement of responsibility, etc. Huu Tue Huynh, Van Son Lai and Issouf Soumaré.
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Place of production, publication, distribution, manufacture Chichester, England ;
-- Hoboken, NJ :
Name of producer, publisher, distributor, manufacturer John Wiley & Sons,
Date of production, publication, distribution, manufacture, or copyright notice [2008]
264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Date of production, publication, distribution, manufacture, or copyright notice ©2008
300 ## - PHYSICAL DESCRIPTION
Extent xvi, 338 pages :
Other physical details illustrations ;
Dimensions 25 cm +
Accompanying material 1 computer disc (12 cm).
336 ## - CONTENT TYPE
Content type term text
Content type code txt
Source rdacontent
336 ## - CONTENT TYPE
Content type term computer dataset
Content type code cod
Source rdacontent
Materials specified Accompanying material
337 ## - MEDIA TYPE
Media type term unmediated
Media type code n
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337 ## - MEDIA TYPE
Media type term computer
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Materials specified Accompanying material
338 ## - CARRIER TYPE
Carrier type term volume
Carrier type code nc
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338 ## - CARRIER TYPE
Carrier type term computer disc
Carrier type code cd
Source rdacarrier
Materials specified Accompanying material
490 1# - SERIES STATEMENT
Series statement Wiley finance
500 ## - GENERAL NOTE
General note Accompanied by: 1 computer disc (CD-ROM)
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc. note Includes bibliographical references (pages 327-338) and index.
505 00 - FORMATTED CONTENTS NOTE
Miscellaneous information 1.
Title Introduction to Probability --
Miscellaneous information 1.1.
Title Intuitive Explanation --
Miscellaneous information 1.1.1.
Title Frequencies --
Miscellaneous information 1.1.2.
Title Number of Favorable Cases Over The Total Number of Cases --
Miscellaneous information 1.2.
Title Axiomatic Definition --
Miscellaneous information 1.2.1.
Title Random Experiment --
Miscellaneous information 1.2.2.
Title Event --
Miscellaneous information 1.2.3.
Title Algebra of Events --
Miscellaneous information 1.2.4.
Title Probability Axioms --
Miscellaneous information 1.2.5.
Title Conditional Probabilities --
Miscellaneous information 1.2.6.
Title Independent Events --
Miscellaneous information 2.
Title Introduction to Random Variables --
Miscellaneous information 2.1.
Title Random Variables --
Miscellaneous information 2.1.1.
Title Cumulative Distribution Function --
Miscellaneous information 2.1.2.
Title Probability Density Function --
Miscellaneous information 2.1.3.
Title Mean, Variance and Higher Moments of a Random Variable --
Miscellaneous information 2.1.4.
Title Characteristic Function of a Random Variable --
Miscellaneous information 2.2.
Title Random vectors --
Miscellaneous information 2.2.1.
Title Cumulative Distribution Function of a Random Vector --
Miscellaneous information 2.2.2.
Title Probability Density Function of a Random Vector --
Miscellaneous information 2.2.3.
Title Marginal Distribution of a Random Vector --
Miscellaneous information 2.2.4.
Title Conditional Distribution of a Random Vector --
Miscellaneous information 2.2.5.
Title Mean, Variance and Higher Moments of a Random Vector --
Miscellaneous information 2.2.6.
Title Characteristic Function of a Random Vector --
Miscellaneous information 2.3.
Title Transformation of Random Variables --
Miscellaneous information 2.4.
Title Transformation of Random Vectors --
Miscellaneous information 2.5.
Title Approximation of the Standard Normal Cumulative Distribution Function --
Miscellaneous information 3.
Title Random Sequences --
Miscellaneous information 3.1.
Title Sum of Independent Random Variables --
Miscellaneous information 3.2.
Title Law of Large Numbers --
Miscellaneous information 3.3.
Title Central Limit Theorem --
Miscellaneous information 3.4.
Title Convergence of Sequences of Random Variables --
Miscellaneous information 3.4.1.
Title Sure Convergence --
Miscellaneous information 3.4.2.
Title Almost Sure Convergence --
Miscellaneous information 3.4.3.
Title Convergence in Probability --
Miscellaneous information 3.4.4.
Title Convergence in Quadratic Mean --
Miscellaneous information 4.
Title Introduction to Computer Simulation of Random Variables --
Miscellaneous information 4.1.
Title Uniform Random Variable Generator --
Miscellaneous information 4.2.
Title Generating Discrete Random Variables --
Miscellaneous information 4.2.1.
Title Finite Discrete Random Variables --
Miscellaneous information 4.2.2.
Title Infinite Discrete Random Variables: Poisson Distribution --
Miscellaneous information 4.3.
Title Simulation of Continuous Random Variables --
Miscellaneous information 4.3.1.
Title Cauchy Distribution --
Miscellaneous information 4.3.2.
Title Exponential Law --
Miscellaneous information 4.3.3.
Title Rayleigh Random Variable --
Miscellaneous information 4.3.4.
Title Gaussian Distribution --
Miscellaneous information 4.4.
Title Simulation of Random Vectors --
Miscellaneous information 4.4.1.
Title Case of a Two-Dimensional Random Vector --
Miscellaneous information 4.4.2.
Title Cholesky Decomposition of the Variance-Covariance Matrix --
Miscellaneous information 4.4.3.
Title Eigenvalue Decomposition of the Variance-Covariance Matrix --
Miscellaneous information 4.4.4.
Title Simulation of a Gaussian Random Vector with MATLAB --
Miscellaneous information 4.5.
Title Acceptance-Rejection Method --
Miscellaneous information 4.6.
Title Markov Chain Monte Carlo Method (MCMC) --
Miscellaneous information 4.6.1.
Title Definition of a Markov Process --
Miscellaneous information 4.6.2.
Title Description of the MCMC Technique --
Miscellaneous information 5.
Title Foundations of Monte Carlo Simulations --
Miscellaneous information 5.1.
Title Basic Idea --
Miscellaneous information 5.2.
Title Introduction to the Concept of Precision --
Miscellaneous information 5.3.
Title Quality of Monte Carlo Simulations Results --
Miscellaneous information 5.4.
Title Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques --
Miscellaneous information 5.4.1.
Title Quadratic Resampling --
Miscellaneous information 5.4.2.
Title Reduction of the Number of Simulations Using Antithetic Variables --
Miscellaneous information 5.4.3.
Title Reduction of the Number of Simulations Using Control Variates --
Miscellaneous information 5.4.4.
Title Importance Sampling --
Miscellaneous information 5.5.
Title Application Cases of Random Variables Simulations --
Miscellaneous information 5.5.1.
Title Application Case: Generation of Random Variables as a Function of the Number of Simulations --
Miscellaneous information 5.5.2.
Title Application Case: Simulations and Improvement of the Simulations' Quality --
505 00 - FORMATTED CONTENTS NOTE
Miscellaneous information 6.
Title Fundamentals of Quasi Monte Carlo (QMC) Simulations --
Miscellaneous information 6.1.
Title Van Der Corput Sequence (Basic Sequence) --
Miscellaneous information 6.2.
Title Halton Sequence --
Miscellaneous information 6.3.
Title Faure Sequence --
Miscellaneous information 6.4.
Title Sobol Sequence --
Miscellaneous information 6.5.
Title Latin Hypercube Sampling --
Miscellaneous information 6.6.
Title Comparison of the Different Sequences --
Miscellaneous information 7.
Title Introduction to Random Processes --
Miscellaneous information 7.1.
Title Characterization --
Miscellaneous information 7.1.1.
Title Statistics --
Miscellaneous information 7.1.2.
Title Stationarity --
Miscellaneous information 7.1.3.
Title Ergodicity --
Miscellaneous information 7.2.
Title Notion of Continuity, Differentiability and Integrability --
Miscellaneous information 7.2.1.
Title Continuity --
Miscellaneous information 7.2.2.
Title Differentiability --
Miscellaneous information 7.2.3.
Title Integrability --
Miscellaneous information 7.3.
Title Examples of Random Processes --
Miscellaneous information 7.3.1.
Title Gaussian Process --
Miscellaneous information 7.3.2.
Title Random Walk --
Miscellaneous information 7.3.3.
Title Wiener Process --
Miscellaneous information 7.3.4.
Title Brownian Bridge --
Miscellaneous information 7.3.5.
Title Fourier Transform of a Brownian Bridge --
Miscellaneous information 7.3.6.
Title Example of a Brownian Bridge --
Miscellaneous information 8.
Title Solution of Stochastic Differential Equations --
Miscellaneous information 8.1.
Title Introduction to Stochastic Calculus --
Miscellaneous information 8.2.
Title Introduction to Stochastic Differential Equations --
Miscellaneous information 8.2.1.
Title Ito's Integral --
Miscellaneous information 8.2.2.
Title Ito's Lemma --
Miscellaneous information 8.2.3.
Title Ito's Lemma in the Multi-Dimensional Case --
Miscellaneous information 8.2.4.
Title Solutions of Some Stochastic Differential Equations --
Miscellaneous information 8.3.
Title Introduction to Stochastic Processes with Jumps --
Miscellaneous information 8.4.
Title Numerical Solutions of some Stochastic Differential Equations (SDE) --
Miscellaneous information 8.4.1.
Title Ordinary Differential Equations --
Miscellaneous information 8.4.2.
Title Stochastic Differential Equations --
Miscellaneous information 8.5.
Title Application Case: Generation of a Stochastic Differential Equation using the Euler and Milstein Schemes --
Miscellaneous information 8.5.1.
Title Sensitivity with Respect to the Number of Simulated Series --
Miscellaneous information 8.5.2.
Title Sensitivity with Respect to the Confidence Interval --
Miscellaneous information 8.5.3.
Title Sensitivity with Respect to the Number of Simulations --
Miscellaneous information 8.5.4.
Title Sensitivity with Respect to the Time Step --
Miscellaneous information 8.6.
Title Application Case: Simulation of a Stochastic Differential Equation with Control and Antithetic Variables --
Miscellaneous information 8.6.1.
Title Simple Simulations --
Miscellaneous information 8.6.2.
Title Simulations with Control Variables --
Miscellaneous information 8.6.3.
Title Simulations with Antithetic Variables --
Miscellaneous information 8.7.
Title Application Case: Generation of a Stochastic Differential Equation with Jumps --
Miscellaneous information 9.
Title General Approach to the Valuation of Contingent Claims --
Miscellaneous information 9.1.
Title The Cox, Ross and Rubinstein (1979) Binomial Model of Option Pricing --
Miscellaneous information 9.1.1.
Title Assumptions --
Miscellaneous information 9.1.2.
Title Price of a Call Option --
Miscellaneous information 9.1.3.
Title Extension To N Periods --
Miscellaneous information 9.2.
Title Black and Scholes (1973) and Merton (1973) Option Pricing Model --
Miscellaneous information 9.2.1.
Title Fundamental Equation for the Valuation of Contingent Claims --
Miscellaneous information 9.2.2.
Title Exact Analytical Value of European Call and Put Options --
Miscellaneous information 9.2.3.
Title Hedging Ratios and the Sensitivity Coefficients --
Miscellaneous information 9.3.
Title Derivation of the Black-Scholes Formula using the Risk-Neutral Valuation Principle --
Miscellaneous information 9.3.1.
Title The Girsanov Theorem and the Risk-Neutral Probability --
Miscellaneous information 9.3.2.
Title Derivation of the Black and Scholes Formula Under The Risk Neutralized or Equivalent Martingale Principle --
Miscellaneous information 10.
Title Pricing Options using Monte Carlo Simulations --
Miscellaneous information 10.1.
Title Plain Vanilla Options: European put and Call --
Miscellaneous information 10.1.1.
Title Simple Simulations --
Miscellaneous information 10.1.2.
Title Simulations with Antithetic Variables --
Miscellaneous information 10.1.3.
Title Simulations with Control Variates --
Miscellaneous information 10.1.4.
Title Simulations with Stochastic Interest Rate --
Miscellaneous information 10.1.5.
Title Simulations with Stochastic Interest Rate and Stochastic Volatility --
Miscellaneous information 10.2.
Title American options --
Miscellaneous information 10.2.1.
Title Simulations Using The Least-Squares Method of Longstaff and Schwartz (2001) --
Miscellaneous information 10.2.2.
Title Simulations Using The Dynamic Programming Technique of Barraquand and Martineau (1995) --
Miscellaneous information 10.3.
Title Asian options --
Miscellaneous information 10.3.1.
Title Asian Options on Arithmetic Mean --
Miscellaneous information 10.3.2.
Title Asian Options on Geometric Mean --
Miscellaneous information 10.4.
Title Barrier options --
Miscellaneous information 10.5.
Title Estimation Methods for the Sensitivity Coefficients or Greeks --
Miscellaneous information 10.5.1.
Title Pathwise Derivative Estimates --
Miscellaneous information 10.5.2.
Title Likelihood Ratio Method --
Miscellaneous information 10.5.3.
Title Retrieval of Volatility Method --
Miscellaneous information 11.
Title Term Structure of Interest Rates and Interest Rate Derivatives --
505 00 - FORMATTED CONTENTS NOTE
Miscellaneous information 11.1.
Title General Approach and the Vasicek (1977) Model --
Miscellaneous information 11.1.1.
Title General Formulation --
Miscellaneous information 11.1.2.
Title Risk Neutral Approach --
Miscellaneous information 11.1.3.
Title Particular Case: One Factor Vasicek Model --
Miscellaneous information 11.2.
Title The General Equilibrium Approach: The Cox, Ingersoll and Ross (CIR, 1985) model --
Miscellaneous information 11.3.
Title The Affine Model of the Term Structure --
Miscellaneous information 11.4.
Title Market Models --
Miscellaneous information 11.4.1.
Title The Heath, Jarrow and Morton (HJM, 1992) Model --
Miscellaneous information 11.4.2.
Title The Brace, Gatarek and Musiela (BGM, 1997) Model --
Miscellaneous information 12.
Title Credit Risk and the Valuation of Corporate Securities --
Miscellaneous information 12.1.
Title Valuation of Corporate Risky Debts: The Merton (1974) Model --
Miscellaneous information 12.1.1.
Title The Black and Scholes (1973) Model Revisited --
Miscellaneous information 12.1.2.
Title Application of the Model to the Valuation of a Risky Debt --
Miscellaneous information 12.1.3.
Title Analysis of the Debt Risk --
Miscellaneous information 12.1.4.
Title Relation Between The Firm's Asset Volatility and its Equity Volatility --
Miscellaneous information 12.2.
Title Insuring Debt Against Default Risk --
Miscellaneous information 12.2.1.
Title Isomorphism Between a Put Option and a Financial Guarantee --
Miscellaneous information 12.2.2.
Title Insuring The Default Risk of a Risky Debt --
Miscellaneous information 12.2.3.
Title Establishing a Lower Bound for the Price of the Insurance Strategy --
Miscellaneous information 12.3.
Title Valuation of a Risky Debt: The Reduced-Form Approach --
Miscellaneous information 12.3.1.
Title The Discrete Case with a Zero-Coupon Bond --
Miscellaneous information 12.3.2.
Title General Case in Continuous Time --
Miscellaneous information 13.
Title Valuation of Portfolios of Financial Guarantees --
Miscellaneous information 13.1.
Title Valuation of a Portfolio of Loan Guarantees --
Miscellaneous information 13.1.1.
Title Firms' and Guarantor's Dynamics --
Miscellaneous information 13.1.2.
Title Value of Loss Per Unit of Debt --
Miscellaneous information 13.1.3.
Title Value of Guarantee Per Unit of Debt --
Miscellaneous information 13.2.
Title Valuation of Credit Insurance Portfolios using Monte Carlo Simulations --
Miscellaneous information 13.2.1.
Title Stochastic Processes --
Miscellaneous information 13.2.2.
Title Expected Shortfall and Credit Insurance Valuation --
Miscellaneous information 13.2.3.
Title MATLAB Program --
Miscellaneous information 14.
Title Risk Management and Value at Risk (VaR) --
Miscellaneous information 14.1.
Title Types of Financial Risks --
Miscellaneous information 14.1.1.
Title Market Risk --
Miscellaneous information 14.1.2.
Title Liquidity Risk --
Miscellaneous information 14.1.3.
Title Credit Risk --
Miscellaneous information 14.1.4.
Title Operational Risk --
Miscellaneous information 14.2.
Title Definition of the Value at Risk (VaR) --
Miscellaneous information 14.3.
Title The Regulatory Environment of Basle --
Miscellaneous information 14.3.1.
Title Stress Testing --
Miscellaneous information 14.3.2.
Title Back Testing --
Miscellaneous information 14.4.
Title Approaches to compute VaR --
Miscellaneous information 14.4.1.
Title Non-Parametric Approach: Historical Simulations --
Miscellaneous information 14.4.2.
Title Parametric Approaches --
Miscellaneous information 14.5.
Title Computing VaR by Monte Carlo Simulations --
Miscellaneous information 14.5.1.
Title Description of the Procedure --
Miscellaneous information 14.5.2.
Title Application: VaR of a Simple Bank Account --
Miscellaneous information 14.5.3.
Title Application: VaR of a Portfolio Composed of One Domestic Stock and One Foreign Stock --
Miscellaneous information 15.
Title Value at Risk (VaR) and Principal Components Analysis (PCA) --
Miscellaneous information 15.1.
Title Introduction to the Principal Components Analysis --
Miscellaneous information 15.1.1.
Title Graphical Illustration --
Miscellaneous information 15.1.2.
Title Analytical Illustration --
Miscellaneous information 15.1.3.
Title Illustrative Example of the PCA --
Miscellaneous information 15.2.
Title Computing the VaR of a Bond Portfolio --
Miscellaneous information 15.2.1.
Title Sample Description and Methodology --
Miscellaneous information 15.2.2.
Title Principal Components Analysis (PCA) --
Miscellaneous information 15.2.3.
Title Linear Interpolation or Bootstrapping for the Intermediate Spot Rates --
Miscellaneous information 15.2.4.
Title Computing VaR by MC and QMC Simulations --
Miscellaneous information Appendix A.
Title Review of Mathematics --
Miscellaneous information Appendix A.1.
Title Matrices --
Miscellaneous information Appendix A.1.
Title 1 Elementary Operations on Matrices --
Miscellaneous information Appendix A.1.
Title 2 Vectors --
Miscellaneous information Appendix A.1.
Title 3 Properties --
Miscellaneous information Appendix A.1.
Title 4 Determinants of Matrices --
Miscellaneous information Appendix A.2.
Title Solution of a System of Linear Equations --
Miscellaneous information Appendix A.3.
Title Matrix Decomposition --
Miscellaneous information Appendix A.4.
Title Polynomial and Linear Approximation --
Miscellaneous information Appendix A.5.
Title Eigenvectors and Eigenvalues of a Matrix --
Miscellaneous information Appendix B.
Title MATLAB Functions.
520 ## - SUMMARY, ETC.
Summary, etc. "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. The book also includes an accompanying CD-ROM 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 ."--Publisher's website.
588 ## - SOURCE OF DESCRIPTION NOTE
Source of description note Machine converted from AACR2 source record.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Finance
General subdivision Mathematical models
9 (RLIN) 370807
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Stochastic models
9 (RLIN) 337117
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Lai, Van Son,
Relator term author.
9 (RLIN) 1072237
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Soumaré, Issouf.
9 (RLIN) 1220771
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Wiley finance series.
9 (RLIN) 267852
907 ## - LOCAL DATA ELEMENT G, LDG (RLIN)
a .b11425076
b 06-08-21
c 27-10-15
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Book
945 ## - LOCAL PROCESSING INFORMATION (OCLC)
a 332.0151923 HUY
g 1
i A432880B
j 0
l cmain
o -
p $181.94
q -
r -
s -
t 0
u 8
v 9
w 0
x 2
y .i12867408
z 29-10-15
998 ## - LOCAL CONTROL INFORMATION (RLIN)
-- b
-- c
Operator's initials, OID (RLIN) 06-04-16
Cataloger's initials, CIN (RLIN) m
First date, FD (RLIN) a
-- eng
-- enk
-- 0
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        City Campus City Campus City Campus Main Collection 29/10/2015 181.94 i12867408 8 9 332.0151923 HUY A432880B 27/09/2018 10/07/2018 1 181.94 31/10/2021 Book

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