The Resource Monte Carlo methods in financial engineering, Paul Glasserman

Monte Carlo methods in financial engineering, Paul Glasserman

Label
Monte Carlo methods in financial engineering
Title
Monte Carlo methods in financial engineering
Statement of responsibility
Paul Glasserman
Creator
Subject
Language
eng
Summary
  • "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."--BOOK JACKET
Cataloging source
DLC
Dewey number
  • 658.155
  • 658.15/5/01519282
Illustrations
illustrations
Index
index present
LC call number
  • HG176.7
  • HG176.7
LC item number
  • .G57 2004
  • .G57 2003
Literary form
non fiction
Nature of contents
bibliography
Series statement
Applications of mathematics
Series volume
53
Label
Monte Carlo methods in financial engineering, Paul Glasserman
Publication
Bibliography note
Includes bibliographical references (p. [569]-586) and index
http://library.link/vocab/branchCode
  • zbnus
  • mel
Contents
1. Foundations -- 2. Generating Random Numbers and Random Variables -- 3. Generating Sample Paths -- 4. Variance Reduction Techniques -- 5. Quasi-Monte Carlo -- 6. Discretization Methods -- 7. Estimating Sensitivities -- 8. Pricing American Options -- 9. Applications in Risk Management -- App. A. Convergence and Confidence Intervals -- App. B. Results from Stochastic Calculus -- App. C. The Term Structure of Interest Rates
Control code
000024602234
Dimensions
25 cm
Extent
xiii, 596 p.
Isbn
9780387004518
Lccn
2003050499
Other physical details
ill.
http://library.link/vocab/recordID
.b20657687
System control number
  • 24602234dw
  • (OCoLC)52127560

Library Locations

    • Deakin University Library - Melbourne Burwood CampusBorrow it
      221 Burwood Highway, Burwood, Victoria, 3125, AU
      -37.846510 145.115099
    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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