Monte Carlo Methods in Finance: Nonsaleable Items Per Elizabeth Zambrana at Wiley 10/25/02 P.S, Som (The Wiley Finance Series) - Hardcover

Jäckel, Peter

Hardcover

ISBN 10: 047149741X ISBN 13: 9780471497417

Verlag: John Wiley & Sons Inc, 2002

Inhaltsangabe

An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available.
The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.

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Über die Autorin bzw. den Autor

Peter Jackel currently works at Commerzbank Securities in London as a quant in the front office product development and derivatives modelling group. Prior to that he worked within the NatWest Group/Royal Bank of Scotland Quantitative Research Centre. He started his career in finance with his employment at Nikko Securities' London operation.

Von der hinteren Coverseite

Monte Carlo Methods in Finance is an important reference for those working in investment banks, insurance and strategic management consultancy. Of particular importance are the many known variance reduction methods, and they are duly covered, not only in their own right, but also with respect to their potential combinations, and in the direct context of realistic applications. Most notably, the issue of the reliability of low-discrepancy numbers in high dimensions is discussed in detail. The book also contains an introduction to the theory of copulæ as an extension to the modelling of correlation of financial securities. An entire chapter is dedicated to the evaluation of interest rate derivatives in the Brace-Gatarek-Musiela/Jamshidian framework by the aid of fast-convergence Monte Carlo simulations. What's more, for the first time, this book also gives a description of the construction of non-recombining trees. Whilst non-recombining trees are usually not viable in a production environment, they often are the very tool of last resort when Monte Carlo approximations to problems such as Bermudan swaptions are to be tested, and the tricks for the construction of non-recombining trees presented in this book are invaluable for that purpose.

Aus dem Klappentext

Monte Carlo Methods in Finance is an important reference for those working in investment banks, insurance and strategic management consultancy. Of particular importance are the many known variance reduction methods, and they are duly covered, not only in their own right, but also with respect to their potential combinations, and in the direct context of realistic applications. Most notably, the issue of the reliability of low-discrepancy numbers in high dimensions is discussed in detail. The book also contains an introduction to the theory of copul? as an extension to the modelling of correlation of financial securities. An entire chapter is dedicated to the evaluation of interest rate derivatives in the Brace-Gatarek-Musiela/Jamshidian framework by the aid of fast-convergence Monte Carlo simulations. What's more, for the first time, this book also gives a description of the construction of non-recombining trees. Whilst non-recombining trees are usually not viable in a production environment, they often are the very tool of last resort when Monte Carlo approximations to problems such as Bermudan swaptions are to be tested, and the tricks for the construction of non-recombining trees presented in this book are invaluable for that purpose.

Details zur Ausgabe

• Verlag: John Wiley & Sons Inc
• Erscheinungsdatum: 2002
• Sprache: Englisch
• ISBN 10: 047149741X
• ISBN 13: 9780471497417
• Einband: Tapa dura
• Anzahl der Seiten: 240
• Kontakt zum Hersteller: WROX; https://www.wiley.com/en-us; ; 111 River Street; Hoboken; NJ; 7030; USA
• Verantwortliche Person: Nicht verfügbar