Stochastic Simulation and Applications in Finance with MATLAB Programs

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First submitted by MathWorks Classroom Resources Team on 7 Dec 2009

Textbook covering fundamentals of Monte Carlo simulation and their application in finance

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Date	Contributor	Description	Rating
7 Dec 2009	MathWorks Classroom Resources Team	Stochastic Simulation and Applications in Finance with MATLAB Programs", by Huu Tue Huynh, Van Son Lai, Issouf Soumaré. John Wiley & Sons, Inc., 2008 == Table of Contents 1 Introduction to Probability 2 Introduction to Random Variables 3 Random Sequences 4 Introduction to Computer Simulation of Random Variables 5 Foundations of Monte Carlo Simulations 6 Fundamentals of Quasi Monte Carlo (QMC) Simulations 7 Introduction to Random Processes 8 Solution of Stochastic Differential Equations 9 General Approach to the Valuation of Contingent Claims 10 Pricing Options using Monte Carlo Simulations 11 Term Structure of Interest Rates and Interest Rate Derivatives 12 Credit Risk and the Valuation of Corporate Securities 13 Valuation of Portfolios of Financial Guarantees 14 Risk Management and Value at Risk (VaR) 15 VaR and Principal Components Analysis (PCA)

7 Dec 2009

MathWorks Classroom Resources Team

Stochastic Simulation and Applications in Finance with MATLAB Programs", by Huu Tue Huynh, Van Son Lai, Issouf Soumaré. John Wiley & Sons, Inc., 2008

== Table of Contents

1 Introduction to Probability
2 Introduction to Random Variables
3 Random Sequences
4 Introduction to Computer Simulation of Random Variables
5 Foundations of Monte Carlo Simulations
6 Fundamentals of Quasi Monte Carlo (QMC) Simulations
7 Introduction to Random Processes
8 Solution of Stochastic Differential Equations
9 General Approach to the Valuation of Contingent Claims
10 Pricing Options using Monte Carlo Simulations
11 Term Structure of Interest Rates and Interest Rate Derivatives
12 Credit Risk and the Valuation of Corporate Securities
13 Valuation of Portfolios of Financial Guarantees
14 Risk Management and Value at Risk (VaR)
15 VaR and Principal Components Analysis (PCA)

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language english	MathWorks Classroom Resources Team	7 Dec 2009 at 9:26pm
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textbook	MathWorks Classroom Resources Team	7 Dec 2009 at 9:26pm
statistics	MathWorks Classroom Resources Team	7 Dec 2009 at 9:26pm
business economics and finance	MathWorks Classroom Resources Team	7 Dec 2009 at 9:26pm
statistics and data analysis	MathWorks Classroom Resources Team	7 Dec 2009 at 9:26pm
computational finance	MathWorks Classroom Resources Team	7 Dec 2009 at 9:26pm