Chan, Tsz Him. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 94-96). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Monte Carlo method in Finance --- p.6 / Chapter 2.1 --- Principle of MC and pricing theory --- p.6 / Chapter 2.2 --- An illustrative example --- p.9 / Chapter 3 --- Discretization method --- p.15 / Chapter 3.1 --- The Euler scheme and Milstein scheme --- p.16 / Chapter 3.2 --- Convergence of Mean Square Error --- p.19 / Chapter 4 --- Quasi Monte Carlo method --- p.22 / Chapter 4.1 --- Basic idea of QMC --- p.23 / Chapter 4.2 --- Application of QMC in Finance --- p.29 / Chapter 4.3 --- Another illustrative example --- p.34 / Chapter 5 --- Our Methodology --- p.42 / Chapter 5.1 --- Measure decomposition --- p.43 / Chapter 5.2 --- QMC in SDE simulation --- p.51 / Chapter 5.3 --- Towards a workable algorithm --- p.58 / Chapter 6 --- Numerical Result --- p.69 / Chapter 6.1 --- Case I Generalized Wiener Process --- p.69 / Chapter 6.2 --- Case II Geometric Brownian Motion --- p.76 / Chapter 6.3 --- Case III Ornstein-Uhlenbeck Process --- p.83 / Chapter 7 --- Conclusion --- p.91 / Bibliography --- p.96
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327250 |
| Date | January 2010 |
| Contributors | Chan, Tsz Him., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, viii, 96 p. : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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