Accelerating the pace of engineering and science

MATLAB and Simulink Based Books

Stochastic Simulation and Applications in Finance with MATLAB Programs

Stochastic Simulation and Applications in Finance with MATLAB Programs

Written for students and engineers in the fields of economics and finance, this book 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. Topics covered include an introduction to probability and random variables, random sequences, foundations of Monte Carlo simulations, and credit risk and the valuation of corporate securities.

Companion software available

MATLAB is used throughout the book to solve many real-world application examples. In addition, a supplemental set of MATLAB M-files is available on a CD bound in the book.

View the publisher’s web page for this book.

MATLAB Courseware

Teaching materials based on MATLAB and Simulink

Find full courses & labs

Trials Available

Try the latest version of MATLAB and other MathWorks products.

Get trial software

About This Book

Huu Tue Huynh, Bac Ha International University
Van Son Lai, Laval University
Issouf Soumaré, Laval University

John Wiley & Sons, Inc., 2008

ISBN: 978-0-470-72538-2
Language: English