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

Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas ...(展开全部)

Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas ...(展开全部)

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...(展开全部)

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...(展开全部)

Monte Carlo statistical methods, particularly those based on Markov chains, are now an essential component of the standard set of techniques used by statisticians. This new edition has been revised towards a coherent and flowing coverage of these simulation techniques, with incorporation of the most recent developments in the field. In particular, the introductory coverage of r...(展开全部)

Monte Carlo statistical methods, particularly those based on Markov chains, are now an essential component of the standard set of techniques used by statisticians. This new edition has been revised towards a coherent and flowing coverage of these simulation techniques, with incorporation of the most recent developments in the field. In particular, the introductory coverage of r...(展开全部)