Monte Carlo methods in finance /

Monte Carlo methods in finance /

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Bibliographic Details
Author / Creator:	Jäckel, Peter.
Imprint:	Chichester, West Sussex, England : J. Wiley, c2002.
Description:	xvi, 222 p. ; 26 cm. + 1 computer optical disk (4 3/4 in.)
Language:	English
Series:	Wiley finance series
Subject:	Monte Carlo method. Business mathematics. Business mathematics. Monte Carlo method.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/4661785

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ISBN:	047149741X (alk. paper)
Notes:	Includes bibliographical references (p. [213]-218) and index.

Table of Contents:

Preface
Acknowledgements
Mathematical NotationIntroduction
The Mathematics Behind Monte Carlo Methods
Stochastic Dynamics Process-driven
Sampling Correlation and Co-movement Salvaging a Linear
Correlation Matrix Pseudo-random Numbers
Low-discrepancy Numbers Non-uniform Variates Variance
Reduction Techniques Greeks Monte Carlo in the BGM/J Framework Non-recombining Trees Miscellanea
Bibliography
Index