Monte Carlo methods in financial engineering

By:

Glasserman, Paul

Series: Applications in mathematicsPublication details: Springer Science, 2003. New York:Description: xiii, 596p.; pbk; 24cmISBN:

9781441918222

Subject(s):

DDC classification:

519 GLA

Summary: 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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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Books	IIT Gandhinagar	General	519 GLA (Browse shelf(Opens below))	1	Available		031616

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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