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)

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)

Computational techniques based on simulation have now become an essential part of the statistician's toolbox. It is thus crucial to provide statisticians with a practical understanding of those methods, and there is no better way to develop intuition and skills for simulation than to use simulation to solve statistical problems. Introducing Monte Carlo Methods with R covers the...(展开全部)

This book provides a self-contained and up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared. Given the interdisciplinary nature of the topics and a moderate prerequisite for the reader, this book should be of interest to a broad audience of quantitative researchers such as c...(展开全部)

A large number of scientists and engineers employ Monte Carlo simulation and related global optimization techniques (such as simulated annealing) as an essential tool in their work. For such scientists, there is a need to keep up to date with several recent advances in Monte Carlo methodologies such as cluster methods, data- augmentation, simulated tempering and other auxiliary...(展开全部)

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. In the 3rd printing of the 2nd edition, the second Chapter on discrete-time markets ...(展开全部)

Bestselling author Salih Neftci presents a fresh, original, informative, and up-to-date introduction to financial engineering. The book offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. Also included are end-of-chapter exercises and case studies. In a market characterized by the existence ...(展开全部)