Monte Carlo Methods in Finance

Peter Jäckel

222 pages, parution le 06/03/2002

Ajouter à une liste

Indisponible

Résumé

An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available.

The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.

Contents

Preface
Acknowledgments
Mathematical Notation

Introduction
The Mathematics behind Monte Carlo methods
Stochastic Dynamics
Process-driven Sampling
Correlation and Co-movement
Salvaging a Linear Correlation Matrix
Pseudo-random Numbers
Low-discrepancy Numbers
Non-uniform Variates
Variance Reduction Techniques
Greeks
Monte Carlo in the BGM/J Framework
Non-recombining Trees
Miscellanea

Bibliography
Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Peter Jäckel
Parution	06/03/2002
Nb. de pages	222
Format	17 x 25
Couverture	Broché
Poids	587g
Intérieur	Noir et Blanc
EAN13	9780471497417
ISBN13	978-0-471-49741-7