Monte Carlo methods in financial engineering
Glasserman, Paul
Monte Carlo methods in financial engineering - New York: Springer Science, 2003. - xiii, 596p.; pbk; 24cm. - Applications in mathematics .
Includes reference and index.
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
https://link.springer.com/book/10.1007/978-0-387-21617-1
9781441918222
Financial engineering
Monte Carlo method
Derivative securities
Mathematical statistics
Mathematics
Operations research
Economics
519 / GLA
Monte Carlo methods in financial engineering - New York: Springer Science, 2003. - xiii, 596p.; pbk; 24cm. - Applications in mathematics .
Includes reference and index.
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
https://link.springer.com/book/10.1007/978-0-387-21617-1
9781441918222
Financial engineering
Monte Carlo method
Derivative securities
Mathematical statistics
Mathematics
Operations research
Economics
519 / GLA
