Paul Glasserman
Monte Carlo Methods in Financial Engineering
- ISBN 13:
- 9781441918222
- author:
- Paul Glasserman
- format:
- Paperback
- publisher:
- Springer
- language:
- English
- Publication Year:
- 2010
- Pages:
- 596
- Dimensions:
- 155 mm X 235 mm
- Genre:
- Economics Textbook
- Condition:
- New
- Availability:
- Item usually sent within 4 working days
Description
Monte Carlo Methods in Financial Engineering is a comprehensive guide to using simulation as a tool for presenting models and ideas from financial engineering. The book develops the use of Monte Carlo methods in finance, covering both new techniques and older approaches.
The book is divided into three parts: the fundamentals of Monte Carlo methods, techniques for improving simulation accuracy and efficiency, and special topics such as estimating price sensitivities and valuing American options. A strong foundation in mathematical tools used to specify and analyze continuous-time models in finance is required, although prior exposure to option pricing is not essential.
Graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry will find this book a valuable resource for understanding the application of Monte Carlo methods in a financial context.
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