Stochastic Simulation and Applications in Finance with Matlab Programs begins by covering the basics of probability and statistics, which are essential to the understanding the later chapters on random processes and computational simulation techniques, it then goes on to discuss Monte Carlo simulations. In addition to the most commonly used techniques, the authors also cover the latest developments such as Markov Chain Monte Carlo and importance sampling methods, which are not discussed in other texts. The final part of the book covers random processes, stochastic differential equations and Brownian Bridges. * Features CD-ROM with examples and programs relating to end of chapter tests and examples and includes accompanying simulation programs in Matlab - a leading programming language commonly used in industry and academia * Covers the latest stochastic processes including American Bermudan Swaps and Markov Chain processes, not covered in other literature * Features case studies and examples from the financial industry as well as test exercises * An in-depth, rigorous explanation of how to apply stochastic simulations to financial engineering problems * Each chapter starts with an introduction to the topic (assuming prior knowledge of linear algebra, differential calculus and programming) taking the reader through to the most advanced elements of each topic

HUU TUE HUYNH obtained his D.Sc. in communication theory from Laval University, Canada. From 1969 to 2004 he was a faculty member of Laval University. He left Laval University to become Chairman of the Department of data processing at the College of Technology of The Vietnam National University, Hanoi. Since 2007 he has been Rector of the Bac Ha International University, Vietnam. His main recent research interest covers Fast Monte Carlo methods and applications.

VAN SON LAI is Professor of Finance at the Business School of Laval University, Canada. He obtained his Ph.D. in Finance from the University of Georgia, USA and a master degree in water resources engineering from the University of British Columbia, Canada. He is also a CFA charterholder from the CFA Institute and a registered P.Eng. in the Province of British Columbia. An established teacher and researcher in banking, financial engineering, and risk management, he has extensively published in mainstream banking, economics, and finance journals.

ISSOUF SOUMARÉ is currently associate professor of finance and managing director of the Laboratory for Financial Engineering at Laval University. His research and teaching interests included risk management, financial engineering and numerical methods in finance. He has published his theoretical and applied finance works in economics and finance journals. Dr Soumaré holds a PhD in Finance from the University of British Columbia, Canada, MSc in Financial Engineering from Laval University, Canada, MSc in Statistics and Quantitative Economics and MSc and BSc in Applied Mathematics from Ivory Coast. He is also a certified Professional Risk Manager (PRM) of the Professional Risk Managers’ International Association (PRMIA).