Monte Carlo Methods in Financial Engineering

Name: Monte Carlo Methods in Financial Engineering
Availability: InStock
ISBN: 9780387004518

ISBN-10: 0387004513

ISBN-13: 9780387004518

Edition: 2003

Authors: Paul Glasserman

List price: $89.99

This item qualifies for FREE shipping.

30 day, 100% satisfaction guarantee!

Sell

Get cash fast!

Semester Rental: $64.35 Due date: 8/13/2024

Rental notice: supplementary materials (access codes, CDs, etc.) are not guaranteed with rental orders.

Buy new: $56.71

Marketplace

4 new & used from $46.65

what's this?

Rush Rewards U
Members Receive:

You have reached 400 XP and carrot coins. That is the daily max!

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. 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…

Book details

List price: $89.99
Copyright year: 2003
Publisher: Springer New York
Publication date: 8/7/2003
Binding: Hardcover
Pages: 596
Size: 6.10" wide x 9.25" long x 1.50" tall
Weight: 2.464
Language: English



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