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. $59.00, new condition, Sold by Ria Christie Books rated 5.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2010 by Springer-Verlag New York Inc..
Add this copy of Monte Carlo Methods in Financial Engineering to cart. $59.67, new condition, Sold by Ria Christie Books rated 5.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2010 by Springer-Verlag New York Inc..
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New. Contains: Illustrations, black & white. Stochastic Modelling and Applied Probability . XIII, 596 p. 4 illus. Intended for professional and scholarly audience.
Add this copy of Monte Carlo Methods in Financial Engineering to cart. $63.65, new condition, Sold by Books2anywhere rated 5.0 out of 5 stars, ships from Fairford, GLOUCESTERSHIRE, UNITED KINGDOM, published 2010 by Springer-Verlag New York Inc.
Edition:
Softcover reprint of hardcover 1st edition 2003
Publisher:
Springer-Verlag New York Inc.
Published:
1/19/2010 12: 11: 00 AM
Language:
English
Alibris ID:
18240188651
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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.
Add this copy of Monte Carlo Methods in Financial Engineering to cart. $71.13, new condition, Sold by Booksplease rated 3.0 out of 5 stars, ships from Southport, MERSEYSIDE, UNITED KINGDOM, published 2010 by Springer-Verlag New York Inc..
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New. Contains: Illustrations, black & white. Stochastic Modelling and Applied Probability . XIII, 596 p. 4 illus. Intended for professional and scholarly audience.
