Monte Carlo methods in financial engineering

書誌事項

Monte Carlo methods in financial engineering

Paul Glasserman

(Applications of mathematics, 53)

Springer, c2004

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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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