Monte Carlo methods in financial engineering / Paul Glasserman

Author : Glasserman, Paul
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Monte Carlo methods in financial engineering / Pau...

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 sereral of the most important models used infinancial engineerinmg 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 option, and meauring market risk and credit risk in finanvial portfolios

Publisher : New York : Springer
Publish Year : 2003
Page : 596 p
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