ENGLISH

Monte Carlo Methods in Finance

By Peter Jaeckel

Book information

Publisher
Wiley
Year
2002
ISBN
047149741X, 9780471497417
Language
english
Format
PDF
Filesize
94 MB (98644511 bytes)
Edition
1
Pages
304\239
Scanned
yes
Time added
2015-06-01 11:55:14

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.

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