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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New. Sewn binding. Cloth over boards. 596 p. Contains: Unspecified, Illustrations, black & white, Tables, black & white. Stochastic Modelling and Applied Probability, 53.
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PLEASE NOTE, WE DO NOT SHIP TO DENMARK. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Please note we cannot offer an expedited shipping service from the UK.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 1150grams, ISBN: 9780387004518.
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Volume 53. This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. In poor condition, suitable as a reading copy. Library sticker on front cover. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 1200grams, ISBN: 9780387004518.
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Good. Sewn binding. Cloth over boards. 596 p. Contains: Unspecified, Illustrations, black & white, Tables, black & white. Stochastic Modelling and Applied Probability, 53. May show signs of wear, highlighting, writing, and previous use. This item may be a former library book with typical markings. No guarantee on products that contain supplements Your satisfaction is 100% guaranteed. Twenty-five year bookseller with shipments to over fifty million happy customers.
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Fine. Sewn binding. Cloth over boards. 596 p. Contains: Unspecified, Illustrations, black & white, Tables, black & white. Stochastic Modelling and Applied Probability, 53. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
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New. Sewn binding. Cloth over boards. 596 p. Contains: Unspecified, Illustrations, black & white, Tables, black & white. Stochastic Modelling and Applied Probability, 53. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
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New. 2003. 2003 ed. Hardcover. Monte Carlo simulation is an important tool in the pricing of derivative securities and in risk management. This book develops the use of Monte Carlo methods in finance. It uses simulation as a vehicle for presenting models and ideas from financial engineering. It addresses estimating price sensitivities and valuing American options. Series: Stochastic Modelling and Applied Probability. Num Pages: 609 pages, 4 black & white illustrations, 49 black & white tables, biography. BIC Classification: KFF; KJ; PBT; PBW. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 242 x 166 x 38. Weight in Grams: 1068......We ship daily from our Bookshop.
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New. Sewn binding. Cloth over boards. 596 p. Contains: Unspecified, Illustrations, black & white, Tables, black & white. Stochastic Modelling and Applied Probability, 53.
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PLEASE NOTE, WE DO NOT SHIP TO DENMARK. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Please note we cannot offer an expedited shipping service from the UK.