Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability, Band 53) - Softcover

Buch 6 von 30: Stochastic Modelling and Applied Probability

Glasserman, Paul

 
9781441918222: Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability, Band 53)
Softcover
ISBN 10: 1441918221 ISBN 13: 9781441918222
Verlag: Springer, 2010

Inhaltsangabe

This book is devoted to the use of Monte Carlo methods in finance and is the first of its kind in this area. It will serve as a reference for practitioners and researchers and will also be suitable as a graduate text for courses on computational finance.

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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.

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Verlag
Springer
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
1441918221
ISBN 13 
9781441918222
Einband
Taschenbuch
Anzahl der Seiten
612
Kontakt zum Hersteller
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Darmstadt
64293
Deutschland

Weitere beliebte Ausgaben desselben Titels

9780387004518: Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability, 53, Band 53)

Vorgestellte Ausgabe

ISBN 10:  0387004513 ISBN 13:  9780387004518
Verlag: Springer, 2003
Hardcover