Monte Carlo methods in financial engineering
著者
書誌事項
Monte Carlo methods in financial engineering
（Applications of mathematics, 53）（Stochastic modelling and applied probability, 53）
Springer, c2003
- : pbk
- : [hardback]
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注記
Includes bibliographical references (p. [569]-586) and index
内容説明・目次
内容説明
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
目次
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
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