Monte Carlo methods in financial engineering

Preliminary entry 53

Paul Glasserman - Collection Applications of mathematics

610 pages, parution le 30/10/2003

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Résumé

Monte Carlo Methods are among the most broadly applicable and thus most powerful tools for valuing derivatives securities and measuring their risks. As computer speeds continue to increase and new research expands the scope and efficiency of these methods, their use is destined to grow.

This book is devoted to the use of Monte Carlo methods in finance. Advances in Monte Carlo methods in financial engineering take place at the interface between academic research and industry practice. This book targets that interface developing theory closely tied to applications. It is roughly divided into three parts: the first three chapters concentrate on the basics of Monte Carlo methods; the next three develop ways to improve Monte Carlo methods; and the final four chapters deal with more specialized problems arising, in particular applications of Monte Carlo to financial engineering.

This book will serve as a reference for practitioners and researchers and will also be suitable as a graduate text for courses on computational finance.

Foundations
Generating Random Numbers and Random Variables
Generating Sample Paths
Variance Reduction Techniques
Quasi-MonteCarlo
Discretization Methods
Estimating Sensitivities
PricingAmericanOptions
Applications in Risk Management
Appendices
References
Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Paul Glasserman
Collection	Applications of mathematics
Parution	30/10/2003
Nb. de pages	610
Format	16 x 24
Couverture	Relié
Poids	1130g
Intérieur	Noir et Blanc
EAN13	9780387004518
ISBN13	978-0-387-00451-8