Springer Undergraduate Texts in Mathematics and Technology

Finance with Monte Carlo

Authors: Shonkwiler, Ronald W.

  • Students will learn by doing; implementing concepts of each chapter into code and experimenting with the outcome
  • Exploits the greatest virtue of the Monte Carlo method – providing results for exotic probability models  
  • Students will learn a lot about options in addition to usage of mathematical models
  • Focus on Monte Carlo methods allows for students to travel a short road from theory to practical applications
  • Presents "standard" models involving Random Walks with GBM but includes other distributions as well
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eBook $44.99
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  • ISBN 978-1-4614-8511-7
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  • Immediate eBook download after purchase
Hardcover $59.99
price for USA
  • ISBN 978-1-4614-8510-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $59.99
price for USA
  • ISBN 978-1-4939-4334-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
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About this Textbook

This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications.

The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methods allows for students to travel a short road from theory to practical applications.

Coverage includes investment science, mean-variance portfolio theory, option pricing principles, exotic options, option trading strategies, jump diffusion and exponential Lévy alternative models, and the Kelly criterion for maximizing investment growth.

Novel features:

  • inclusion of both portfolio theory and contingent claim analysis in a single text
  • pricing methodology for exotic options
  • expectation analysis of option trading strategies
  • pricing models that transcend the Black–Scholes framework
  • optimizing investment allocations
  • concepts thoroughly explored through numerous simulation exercises
  • numerous worked examples and illustrations

The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language.

The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language.

Also by the author: (with F. Mendivil) Explorations in Monte Carlo, ©2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, ©2009, ISBN: 978-0-387-70983-3.

About the authors

Ronald W. Shonkwiler is a Professor Emeritus in the School of Mathematics at the Georgia Institute of Technology. He received his Masters in Mathematics in 1967, and then his PH.D. in Mathematics in 1970 from the University of Colorado, Boulder. His research includes optimization by Monte Carlo methods, computer geometry, fractal geometry, mathematical epidemiology, neural networks, and mathematical finance. Ronald W. Shonkwiler previously published two books with Springer in the UTM series. "Explorations in Monte Carlo Methods" 2009, ISBN: 978-0-387-87836-2 and "Mathematical Biology, 2nd ed" 2009, ISBN: 978-0-387-70983-3.

Table of contents (7 chapters)

  • Geometric Brownian Motion and the Efficient Market Hypothesis

    Shonkwiler, Ronald W.

    Pages 1-31

  • Return and Risk

    Shonkwiler, Ronald W.

    Pages 33-75

  • Forward and Option Contracts and Their Pricing

    Shonkwiler, Ronald W.

    Pages 77-115

  • Pricing Exotic Options

    Shonkwiler, Ronald W.

    Pages 117-134

  • Option Trading Strategies

    Shonkwiler, Ronald W.

    Pages 135-164

Buy this book

eBook $44.99
price for USA (gross)
  • ISBN 978-1-4614-8511-7
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $59.99
price for USA
  • ISBN 978-1-4614-8510-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $59.99
price for USA
  • ISBN 978-1-4939-4334-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Finance with Monte Carlo
Authors
Series Title
Springer Undergraduate Texts in Mathematics and Technology
Copyright
2013
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4614-8511-7
DOI
10.1007/978-1-4614-8511-7
Hardcover ISBN
978-1-4614-8510-0
Softcover ISBN
978-1-4939-4334-0
Series ISSN
1867-5506
Edition Number
1
Number of Pages
XIX, 250
Number of Illustrations and Tables
53 b/w illustrations, 17 illustrations in colour
Topics