The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. 9 Mar This book develops the use of Monte Carlo methods in finance and it in financial engineering, researchers in Monte Carlo simulation, and. Compre o livro Monte Carlo Methods in Financial Engineering: 53 na Amazon. : confira as ofertas para livros em inglês e por Paul Glasserman (Autor).
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Handbooks in Operations Research and Management Science: The math certainly is not for the notation-shy, but suffices for the dedicated practitioner.
User Review – Flag as inappropriate 1. This book develops the use of Monte Carlo methods in finance This book is not. The book also has a glasesrman appendix section that covers stochastic calculus and other topics. The chapter ends with a discussion of credit risk. References to this book The Volatility Surface: Much of what it offers really isn’t for me, though – the mfthods instruments being analyzed border on abstract art.
I just got this book and start reading a few topics of interest like Risk Management. These methods are given detailed treatment in this chapter, along with detailed discussion of their limitations and computational complexity. The Term Structure of Interest Rates The final third of the book addresses special topics: It divides roughly into three parts.
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.
Monte Carlo Methods in Financial Engineering. 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. The measurement of market risk in his view boils down to finding a statistical model for describing the movements in individual sources of risk and correlations between multiple sources of risk, and in calculating the change in the value of the portfolio as the underlying sources of risk change.
Regression-based methods, which estimate continuation values from simulated paths, are discussed within the framework of stochastic mesh.
Leia mais Leia menos. Methoda Limited preview – The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry.
Monte Carlo Methods in Financial Engineering – Paul Glasserman – Google Books
The last chapter will be of particular interest to risk managers, wherein the author applies Monte Carlo simulation to portfolio management. The next part describes techniques for improving simulation accuracy and efficiency. The author also discusses various methods for doing variance reduction in the heavy-tailed case, one of these methods again involving exponential twisting. The case for a heavy-tailed distribution if of course much more involved, since there are no moment generating functions for the quantities of interest.
When applying Monte Carlo simulation, the author restricts himself to options that can only be exercised at a finite, fixed set of opportunities, with a discrete Markov chain used to model the underlying process representing the discounted payoff from the exercise of the option at a particular time. My library Help Advanced Book Search. The “Sample Path” material is where I came into this book, really, looking for more insight into generation Brownian bridges.
It divides roughly into three parts. It’s great as expected.
Convergence and Confidence Intervals. This book develops the use of Monte Carlo methods in finance Similar to this method are stochastic mesh methods, entineering difference being that stochastic mesh methods utilize information coming from all nodes in the next time step. As something of a novice to advanced Monte Carlo techniques, I find this book immensely useful. The author first treats the case where the risk factors are distributed according to multivariate normal distribution, and then latter the case where the distribution is heavy-tailed.
Applications in Risk Management