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Stochastic Simulation and Applications in Finance with MATLAB Programs

Stochastic Simulation and Applications in Finance with MATLAB Programs
Author: Huu Tue Huynh - Van Son Lai - Issouf Soumare
ISBN 13: 9780470725382
ISBN 10: 470725389
Edition: 1
Publisher: Wiley
Publication Date: 2008-12-22
Format: Hardcover
Pages: 356
List Price: $135.00

This book is a good companion to text books on theory, so if you want to get straight to the meat of implementing the classical quantitative finance models here's the answer.

—Paul Wilmott, wilmott.com

This powerful book is a comprehensive guide for Monte Carlo methods in finance. Every quant knows that one of the biggest issues in finance is to well understand the mathematical framework in order to translate it in programming code. Look at the chapter on Quasi Monte Carlo or the paragraph on variance reduction techniques and you will see that Huu Tue Huynh, Van Son Lai and Issouf Soumaré have done a very good job in order to provide a bridge between the complex mathematics used in finance and the programming implementation. Because it adopts both theoretical and practical point of views with a lot of applications, because it treats about some sophisticated financial problems (like Brownian bridges, jump processes, exotic options pricing or Longstaff-Schwartz methods) and because it is easy to understand, this handbook is valuable for academics, students and financial engineers who want to learn the computational aspects of simulations in finance.

—Thierry Roncalli, Head of Investment Products and Strategies, SGAM Alternative Investments & Professor of Finance, University of Evry