風(fēng)中奇緣

Acknowledgments
Chapter 1 Introduction
Chapter 2 Some Basic Theory of Finance
　Introduction to Pricing: Single PeriodModels
　Multiperiod Models
　Determining the Process Bt
　Minimum Variance Portfolios and the Capital Asset Pricing Model
　Entropy: choosing a Q measure
　Models in Continuous Time
　Problems
Chapter 3 Basic Monte Carlo Methods
　Uniform Random Number Generation
　Apparent Randomness of Pseudo-Random Number Generators
　Generating Random Numbers from Non-Uniform Continuous Distributions
　Generating Random Numbers from Discrete Distributions
　Random Samples Associated with Markov Chains
　Simulating Stochastic Partial Differential Equations
　Problems
Chapter 4 Variance Reduction Techniques
　Introduction
　Variance reduction for one-dimensional Monte-Carlo Integration
　Problems
　Chapter 5 Simulating the value of Options
　Asian Options
　Pricing a Call option under stochastic interest rates
　Simulating Barrier and lookback options
　Survivorship Bias
　Problems
Chapter 6 Quasi- Monte Carlo Multiple Integration
　Introduction
　Theory of Low discrepancy sequences
　Examples of low discrepancy sequences
　Problems
Chapter 7 Estimation and Calibration
　Introduction
　Finding a Root
　Maximization of Functions
　MaximumLikelihood Estimation
　Using Historical Data to estimate the parameters in Diffusion Models
　Estimating Volatility
　Estimating Hedge ratios and Correlation Coefficients
　Problems
Chapter 8 Sensitivity Analysis, Estimating Derivatives and the Greeks
　Estimating Derivatives
　Infinitesimal Perturbation Analysis: Pathwise differentiation
　Calibrating aModel using simulations
　Problems
Chapter 9 Other Directions and Conclusions
　Alternative Models
　ARCH and GARCH
　Conclusions
Notes
References
Index