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Stochastic Modelling and Applied Probability Ser.: Monte Carlo Methods in Financial Engineering by Paul Glasserman (2003, Hardcover)
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About this product
Product Identifiers
PublisherSpringer New York
ISBN-100387004513
ISBN-139780387004518
eBay Product ID (ePID)2721135
Product Key Features
Number of PagesXiii, 596 Pages
LanguageEnglish
Publication NameMonte Carlo Methods in Financial Engineering
SubjectInvestments & Securities / Derivatives, Probability & Statistics / Stochastic Processes, Public Finance, Finance / Financial Engineering, Probability & Statistics / General, Applied
Publication Year2003
TypeTextbook
AuthorPaul Glasserman
Subject AreaMathematics, Business & Economics
SeriesStochastic Modelling and Applied Probability Ser.
FormatHardcover
Dimensions
Item Weight40.9 Oz
Item Length9.3 in
Item Width6.1 in
Additional Product Features
Intended AudienceScholarly & Professional
LCCN2003-050499
Dewey Edition21
Series Volume Number53
Number of Volumes1 vol.
IllustratedYes
Dewey Decimal658.15/5/01519282
Table Of Content1 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.- A Appendix: Convergence and Confidence Intervals.- A.1 Convergence Concepts.- A.2 Central Limit Theorem and Confidence Intervals.- B Appendix: Results from Stochastic Calculus.- B.1 Itô's Formula.- B.2 Stochastic Differential Equations.- B.3 Martingales.- B.4 Change of Measure.- C Appendix: The Term Structure of Interest Rates.- C.1 Term Structure Terminology.- C.2 Interest Rate Derivatives.- References.
SynopsisMonte 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.", This book is devoted to the use of Monte Carlo methods in finance andis the first of its kind in this area. It will serve as a referencefor practitioners and researchers and will also be suitable as agraduate text for courses on computational finance., 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.
LC Classification NumberT57-57.97
