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 ...
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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. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."
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Add this copy of Monte Carlo Methods in Financial Engineering to cart. $72.49, new condition, Sold by Paperbackshop rated 5.0 out of 5 stars, ships from Bensenville, IL, UNITED STATES, published 2012 by Springer Nature B. V.
Add this copy of Monte Carlo Methods in Financial Engineering to cart. $37.68, good condition, Sold by BooksRun rated 4.0 out of 5 stars, ships from Philadelphia, PA, UNITED STATES, published 2010 by Springer.
Edition:
Softcover reprint of hardcover 1st edition 2003
Publisher:
Springer-Verlag New York Inc.
Published:
2010
Language:
English
Alibris ID:
18543452495
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It's a preowned item in good condition and includes all the pages. It may have some general signs of wear and tear, such as markings, highlighting, slight damage to the cover, minimal wear to the binding, etc., but they will not affect the overall reading experience.
Add this copy of Monte Carlo Methods in Financial Engineering to cart. $58.33, very good condition, Sold by Books From California rated 4.0 out of 5 stars, ships from Simi Valley, CA, UNITED STATES, published 2010 by Springer.
