Articoli correlati a Monte Carlo Methods in Financial Engineering: 53
Sinossi
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.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Dalla quarta di copertina
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.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
- EditoreSpringer
- Data di pubblicazione2010
- ISBN 10 1441918221
- ISBN 13 9781441918222
- RilegaturaCopertina flessibile
- LinguaInglese
- Numero di pagine612
- Contatto del produttorenon disponibile
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MONTE CARLO METHODS IN FINANCIAL ENGINEE
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Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -From the reviews: 'Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [.] So often, financial engineering texts are very theoretical. This book is not.' --Glyn Holton, Contingency Analysis 612 pp. Englisch. Codice articolo 9781441918222
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Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
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Monte Carlo Methods in Financial Engineering
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Condizione: New. From the reviews: Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [.] So ofte. Codice articolo 4172398
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Monte Carlo Methods in Financial Engineering
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Springer New York, Springer US Nov 2010, 2010
ISBN 10: 1441918221
ISBN 13: 9781441918222
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Taschenbuch. Condizione: Neu. Neuware -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.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.'Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 612 pp. Englisch. Codice articolo 9781441918222
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Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
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Monte Carlo Methods in Financial Engineering
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ISBN 13: 9781441918222
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Da: AHA-BUCH GmbH, Einbeck, Germania
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Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.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.'. Codice articolo 9781441918222
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Monte Carlo Methods in Financial Engineering
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ISBN 13: 9781441918222
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Monte Carlo Methods in Financial Engineering
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Paperback. Condizione: Brand New. 616 pages. 9.25x6.00x1.50 inches. In Stock. This item is printed on demand. Codice articolo __1441918221
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