Finance with Monte Carlo

DOI10.1007/978-1-4614-8511-7zbMath1295.91003OpenAlexW80441128MaRDI QIDQ5327416

Ronald Shonkwiler

Publication date: 7 August 2013

Published in: Springer Undergraduate Texts in Mathematics and Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8511-7

zbMATH Keywords

Wiener processstock priceMonte Carlo methodsLévy processfinancefinancial engineeringBlack-Scholes formulaexotic optionsLévy measuresmarket portfoliomean-variance theoryBrownian motion modelEuropean and American optionsrisk-free ratebinomial lattice model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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