Monte Carlo Methods in Financial Engineering

Monte Carlo Methods in Financial Engineering by Paul Glasserman.

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 f...

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Bibliographic Details
Main Author: Glasserman, Paul (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: New York, NY : Springer New York : Imprint: Springer, 2003.
Edition:1st ed. 2003.
Series:Stochastic Modelling and Applied Probability, 53
Springer eBook Collection.
Subjects:
Applied mathematics.
Engineering mathematics.
Public finance.
Probabilities.
Economics, Mathematical .
Statistics .
Economic theory.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 1 Foundations
  • 2 Generating Random Numbers and Random Variables
  • 3 Generating Sample Paths
  • 4 Variance Reduction Techniques
  • 5 Quasi-Monte Carlo
  • 6 Discretization Methods
  • 7 Estimating Sensitivities
  • 8 Pricing American Options
  • 9 Applications in Risk Management
  • A Appendix: Convergence and Confidence Intervals
  • A.1 Convergence Concepts
  • A.2 Central Limit Theorem and Confidence Intervals
  • B Appendix: Results from Stochastic Calculus
  • B.1 Itô’s Formula
  • B.2 Stochastic Differential Equations
  • B.3 Martingales
  • B.4 Change of Measure
  • C Appendix: The Term Structure of Interest Rates
  • C.1 Term Structure Terminology
  • C.2 Interest Rate Derivatives
  • References.

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