Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability 53 2003 ed.)

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability 53 2003 ed.)

By: Paul Glasserman (author)Hardback

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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

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

Product Details

  • ISBN13: 9780387004518
  • Format: Hardback
  • Number Of Pages: 596
  • ID: 9780387004518
  • weight: 1160
  • ISBN10: 0387004513
  • edition: 2003 ed.

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