Monte Carlo methods in financial engineering
Series: Applications in mathematicsPublication details: Springer Science, 2003. New York:Description: xiii, 596p.; pbk; 24cmISBN:- 9781441918222
- 519 GLA
Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode |
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IIT Gandhinagar | General | 519 GLA (Browse shelf(Opens below)) | 1 | Available | 031616 |
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518.66 LIF Hypersingular integral equations and their applications | 519.5092 RUD Prasanta Chandra Mahalanobis: a biography | 519 DAS Applied mathematical methods | 519 GLA Monte Carlo methods in financial engineering | 519 MAL Optimization techniques | 519 ROE Mathematics for sustainability | 519.02457 DAN Biostatistics : a foundation for analysis in the health sciences |
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
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