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Monte Carlo Methods in Financial Engineering
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Catalogue Information
Field name
Details
Dewey Class
519
Title
Monte Carlo Methods in Financial Engineering ([EBook]) / by Paul Glasserman.
Author
Glasserman, Paul. , 1962-
Other name(s)
SpringerLink (Online service)
Publication
New York, NY : Springer , 2003.
Physical Details
XIII, 596 pages : 4 illus. : online resource.
Series
Stochastic Modelling and Applied Probability
0172-4568 ; ; 53
ISBN
9780387216171
Summary Note
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.:
Contents note
1 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.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site
http://dx.doi.org/10.1007/978-0-387-21617-1
Links to Related Works
Subject References:
Applications of Mathematics
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Derivative securities
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Economic theory
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Economics, Mathematical
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Engineering mathematics
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Financial Engineering
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Monte Carlo method
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Probabilities
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Public finance
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Statistics
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Authors:
Glasserman, Paul. 1962-
.
Corporate Authors:
SpringerLink (Online service)
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Series:
Stochastic Modelling and Applied Probability
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Classification:
519
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