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Monte Carlo methods in financial engineering
Paul Glasserman, 1962- (Författare)
ISBN 9781441918222 · pbk., ISBN 1441918221 · pbk., ISBN 9780387004518 · hbk., ISBN 0387004513 · hbk.
utgivning
New York : Springer, 2004, cop. 2004596 s.
Seriemedlemskap
ISSN 0172-4568 · Applications of mathematics ; 53Paul Glasserman
Bok
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kategori
Ej skönlitteraturämne
Financial engineering, Derivative securities, Monte Carlo method, Monte Carlo-metoder, Monte Carlo method--financial engineeringSammanfattning
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
Innehållsförteckning
Foundations -- Generating Random Numbers and Random Variables -- Generating Sample Paths -- Variance Reduction Techniques -- Quasi-Monte Carlo -- Discretization Methods -- Estimating Sensitivities -- Pricing American Options -- Applications in Risk Management
Detaljer
Medverkan och funktion
Paul Glasserman, 1962- (Författare)klassifikation
336.76 (UDK-klassifikation), 517/519 (UDK-klassifikation), 658.14/.15 (UDK-klassifikation), 658.15/5/01519282 (DDK-klassifikation), 65C05 (msc), 91-02 (msc), 91B28 (msc), 91Bxx (msc), Tha (kssb/7)Identifikator
ISBN 9781441918222 · pbk., ISBN 1441918221 · pbk., ISBN 9780387004518 · hbk., ISBN 0387004513 · hbk.Indirekt identifierad av
ISBN 9780387216171 · ebk.har titel
Monte Carlo methods in financial engineeringupphovsuppgift
Paul Glassermanutgivning
New York : Springer, 2004, cop. 2004omfång
596 s.anmärkning
Även med tryck- och copyrightår 2010Övriga fysiska detaljer
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HG176.7 (LC-klassifikation)Seriemedlemskap
ISSN 0172-4568 · Applications of mathematics ; 53kontrollnummer
8936733ID / Permalänk: https://libris.kb.se/r820r2s333ftb9r#it
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