Monte Carlo methods in financial engineering
Author(s)
Bibliographic Information
Monte Carlo methods in financial engineering
（Applications of mathematics, 53）（Stochastic modelling and applied probability, 53）
Springer, c2003
- : pbk
- : [hardback]
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Note
Includes bibliographical references (p. [569]-586) and index
Description and Table of Contents
Description
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
Table of Contents
Foundations.- Generating Random Numbers and Random Variables.- Generating Sample Paths.- Variance Reduction Techniques.- Quasi-Monte Carlo Methods.- Discretization Methods.- Estimating Sensitivities.- Pricing American Options.- Applications in Risk Management.- Appendices
by "Nielsen BookData"