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Monte Carlo Simulation With Java and C++
This book provides an introduction to Monte Carlo simulation methods using the Java programming language. It covers the fundamental concepts of probability theory and stochastic processes that underlie Monte Carlo methods. Key topics include:
- Random variables, conditional expectation, and empirical distributions
- Stochastic processes, path functionals, and stopping times
- Markov chains and optimal stopping problems
- Asset price processes and financial markets
- Pricing and hedging options
- The Libor market model for interest rates
- Quasi-Monte Carlo methods using low discrepancy sequences
- Lattice methods
The book takes an applied, hands-on approach, providing Java code examples throughout to illustrate the concepts. It assumes familiarity with basic probability and Java programming. The intended audience includes students, quantitative analysts, and developers interested in applying Monte Carlo methods, especially in the domain of mathematical finance and option pricing. Both theory and practical implementation considerations are covered in detail.
The book aims to replicate fundamental mathematical concepts in probability and stochastic processes using the object-oriented features of Java. This allows complex Monte Carlo simulations to be constructed in an elegant and efficient manner by leveraging the established theory. Differences with the C++ language are also discussed. Overall, the book provides a comprehensive treatment of Monte Carlo methods from both a theoretical and applied programming perspective.
- Random variables, conditional expectation, and empirical distributions
- Stochastic processes, path functionals, and stopping times
- Markov chains and optimal stopping problems
- Asset price processes and financial markets
- Pricing and hedging options
- The Libor market model for interest rates
- Quasi-Monte Carlo methods using low discrepancy sequences
- Lattice methods
The book takes an applied, hands-on approach, providing Java code examples throughout to illustrate the concepts. It assumes familiarity with basic probability and Java programming. The intended audience includes students, quantitative analysts, and developers interested in applying Monte Carlo methods, especially in the domain of mathematical finance and option pricing. Both theory and practical implementation considerations are covered in detail.
The book aims to replicate fundamental mathematical concepts in probability and stochastic processes using the object-oriented features of Java. This allows complex Monte Carlo simulations to be constructed in an elegant and efficient manner by leveraging the established theory. Differences with the C++ language are also discussed. Overall, the book provides a comprehensive treatment of Monte Carlo methods from both a theoretical and applied programming perspective.
276 pages, ebook
Published January 15, 2003
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