Stochastic Simulation and Applications in Finance with MATLAB Programs (Hardcover)

Stochastic Simulation and Applications in Finance with MATLAB Programs 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.

The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks.   The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging.

The book also includes an accompanying CD-ROM which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.

"This book provides a very useful set of tools for those who are interested in the simulation method of asset pricing and its implementation with MatLab. It is pitched at just the right level for anyone who seeks to learn about this fascinating area of finance. The collection of specific topics thoughtfully selected by the authors, such as credit risk, loan guarantee and value-at-risk, is an additional nice feature, making it a great source of reference for researchers and practitioners. The book is a valuable contribution to the fast growing area of quantitative finance."

-Tan Wang, Sauder School of Business, UBC

“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

《隨機模擬與金融應用：MATLAB程式設計》解釋了蒙特卡羅模擬技術的基礎知識，以及它們在解決隨機微分方程數值問題和金融領域中的應用。本書採用整合的方法，提供了風險管理和金融工程中必須了解的材料的教學性講解。

本書從基本概念入手，涵蓋了該領域最新的研究和問題，包括：二次重抽樣技術、最小二乘法、動態規劃和分層狀態聚合技術用於定價美式期權、極值模擬技術用於定價異體期權，以及波動率估計希臘值的方法。作者還介紹了現代利率期限結構模型和使用BGM市場模型定價利率掉期，並對基於Merton結構方法的公司證券估值和信用風險進行了全面解釋。金融擔保案例研究展示了如何在定價和對沖中應用模擬技術。

本書還附帶一個CD-ROM，其中提供了實際示例和案例研究的MATLAB程式，讓讀者能夠自信地使用和適應特定的方法來解決金融中涉及隨機過程的問題。

"這本書為那些對資產定價的模擬方法及其在MatLab中的實現感興趣的人提供了一套非常有用的工具。它以適當的水平面向任何希望學習這個迷人金融領域的人。作者精心選擇的特定主題，如信用風險、貸款擔保和風險值，是一個額外的亮點，使其成為研究人員和從業人員的重要參考資料。這本書對快速增長的量化金融領域做出了寶貴的貢獻。" - Tan Wang, UBC薩德商學院

"這本書是理論教科書的好伴侶，所以如果你想直接進入實施經典量化金融模型的核心，這就是答案。" - Paul Wilmott, wilmott.com

"這本強大的書是金融中蒙特卡羅方法的全面指南。每個量化分析師都知道，金融領域最大的問題之一是充分理解數學框架，以便將其轉化為編程代碼。看看關於準蒙特卡羅或方差減少技術的章節，你會發現Huu Tue Huynh、Van Son Lai和Issouf Soumaré在提供金融中複雜數學和編程實現之間搭建橋樑方面做得非常出色。由於它同時採用了理論和實踐的觀點，並且有大量應用，因此這本手冊對於想要學習金融模擬計算方面的學者、學生和金融工程師非常有價值。" - Thierry Roncalli, SGAM Alternative Investments投資產品和策略主管，Evry大學金融學教授