Monte Carlo Methods in Finance
Editorial Reviews
Book Description
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available.
The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.
Book Info
This text adopts a practical flavor throughout, the emphasis being on financial modeling and derivatives pricing. Provides a detailed explanation of the theoretical foundations of the various methods and algorithms presented.
Monte Carlo Methods in Finance
Monte Carlo Methods in Finance,Peter Jaeckel,John Wiley & Sons,047149741X,Accounting - General,Business & Economics,Business / Economics / Finance,Business mathematics,Business/Economics,Finance,Financial Economics (General),Investments & Securities - General,Monte Carlo method,Numerical Analysis,Probability & Statistics - General,Business & Economics / Finance,Probability & statistics
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