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The Resource Monte Carlo methods in financial engineering, Paul Glasserman

Monte Carlo methods in financial engineering, Paul Glasserman

Label
Monte Carlo methods in financial engineering
Title
Monte Carlo methods in financial engineering
Statement of responsibility
Paul Glasserman
Creator
Subject
Language
eng
Summary
  • "This book develops the use of Monte Carlo methods in finance, and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios."
  • "The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential." "The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry."--Jacket
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1962-
http://library.link/vocab/creatorName
Glasserman, Paul
Dewey number
658.15/5/01519282
Illustrations
illustrations
Index
index present
LC call number
HG176.7
LC item number
.G57 2004
Literary form
non fiction
Nature of contents
bibliography
Series statement
Applications of mathematics
Series volume
53
http://library.link/vocab/subjectName
  • Financial engineering
  • Derivative securities
  • Monte Carlo method
Label
Monte Carlo methods in financial engineering, Paul Glasserman
Link
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 569-586) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Foundations -- Generating random numbers and random variables -- Generating sample paths -- Variance reduction techniques -- Quasi-Monte Carlo -- Discretization methods -- Estimating sensitivities -- Pricing American options -- Applications in risk management
Control code
ocm52127560
Dimensions
25 cm.
Extent
xiii, 596 pages
Isbn
9780387004518
Lccn
2003050499
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(Sirsi) 1734159
Label
Monte Carlo methods in financial engineering, Paul Glasserman
Link
Publication
Bibliography note
Includes bibliographical references (pages 569-586) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Foundations -- Generating random numbers and random variables -- Generating sample paths -- Variance reduction techniques -- Quasi-Monte Carlo -- Discretization methods -- Estimating sensitivities -- Pricing American options -- Applications in risk management
Control code
ocm52127560
Dimensions
25 cm.
Extent
xiii, 596 pages
Isbn
9780387004518
Lccn
2003050499
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(Sirsi) 1734159

Library Locations

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      3200 College Park Drive, Conroe, TX, 77384, US
      30.20717 -95.46538
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