Approximations of Stochastic Models with Applications - Habibi, Reza
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This book presents models for approximating in finance. The model is calibrated to simulation -based methods containing Monte Carlo simulation. The book has been reorganized in order to ease its use within standard courses on numerical methods for financial engineering. It provides the reader with motivations for the use of numerical methods. Also it has an overview of financial theory, optimization. We also deal briefly with the estimation of option pricing by Monte Carlo methods. Indeed, the aim of this module is to learn to think about modeling in finance. To practice thinking about what is driving cause and effect in some simple models.…mehr

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Produktbeschreibung
This book presents models for approximating in finance. The model is calibrated to simulation -based methods containing Monte Carlo simulation. The book has been reorganized in order to ease its use within standard courses on numerical methods for financial engineering. It provides the reader with motivations for the use of numerical methods. Also it has an overview of financial theory, optimization. We also deal briefly with the estimation of option pricing by Monte Carlo methods. Indeed, the aim of this module is to learn to think about modeling in finance. To practice thinking about what is driving cause and effect in some simple models.
Autorenporträt
Reza Habibi has a PhD in Statistics from Shiraz University. He has worked in many fields such as change point analysis, computational statistics, data mining, financial time series and mathematical finance. He worked in Department of Statistics of Central Bank of Iran 8 years. Currently, he works in Iran Banking Institute as a researcher.