Stochastic Simulation and Applications in Finance with MATLAB Programs (The Wil

Stochastic Simulation and Applications in Finance with MATLAB ProgramsAuthor(s): Huu Tue Huynh, Van Son Lai, Issouf Soumare\nFormat: Hardback\nPublisher: John Wiley & Sons Inc, United States\nImprint: John Wiley & Sons Inc\nISBN-13: 9780470725382, 978-0470725382\nSynopsis\nStochastic 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 techni.