Monte Carlo methods, developed by Paul Glasserman, are indispensable in financial engineering for valuing derivatives and managing risk. This textbook provides a thorough introduction to Monte Carlo simulation in finance and also covers advanced techniques for improving accuracy and efficiency.
The book consists of three parts: the basic principles of Monte Carlo methods and derived pricing models, techniques for optimizing simulations, and specialized topics such as estimating price sensitivities, valuation of American options, and measuring market risk and credit risk.
Knowledge of stochastic calculus is an important starting point, while a basic understanding of option pricing is useful. The book is aimed at graduate students, researchers, and professionals working in the financial sector who apply Monte Carlo methods.
Product specifications
- Author: Paul Glasserman
- Series: Stochastic Modelling and Applied Probability
- Publisher: Springer-Verlag New York Inc.
- Publication date: 2003-08-07
- Number of pages: 596
- ISBN: 9780387004518
- Subject: Applied mathematics
- BISAC: MATHEMATICS / Applied