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Monte Carlo Methods in Financial Engineering

ISBN-10: 0387004513
ISBN-13: 9780387004518
Edition: 2003
Authors: Paul Glasserman
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Description: Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques.   More...

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Book details

List price: $74.95
Copyright year: 2003
Publisher: Springer
Publication date: 8/7/2003
Binding: Hardcover
Pages: 596
Size: 9.50" wide x 6.50" long x 1.50" tall
Weight: 2.640
Language: English

Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."

Foundations
Generating Random Numbers and Random Variables
Generating Sample Paths
Variance Reduction Techniques
Quasi-Monte Carlo Methods
Discretization Methods
Estimating Sensitivities
Pricing American Options
Applications in Risk Management
Appendices

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