Monte Carlo methods in finance Jackel, Peter
Material type: TextSeries: Wiley Finance SeriesPublication details: Chichester John Wiley & Sons 2002Description: xvi, 222 p. With CD at Acc. No. CD501ISBN:- 9780471497417
- 519.92 J2M6
Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
---|---|---|---|---|---|---|---|
Book | Ahmedabad | 519.92 J2M6 (Browse shelf(Opens below)) | Available | 156062 |
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519.92 I6A2 Advances in multiple objective and goal programming: proceedings | 519.92 I6C6 Constructing scalar-valued objective functions: proceedings | 519.92 I6G31 Generalized convexity: proceedings | 519.92 J2M6 Monte Carlo methods in finance | 519.92 K2B8 Business optimisation using mathematical programming | 519.92 K2S8 Stochastic linear programming: models, theory and computation | 519.92 K6L4 Linear models with correlated disturbances |
Table of contents
Preface
Acknowledgements
Mathematical Notation
Introduction
The Mathematics Behind Monte Carlo Methods
Stochastic Dynamics
Process-driven Sampling
Correlation and Co-movement
Salvaging a Linear Correlation Matrix
Pseudo-random Numbers
Low-discrepancy Numbers
Non-uniform Variates
Variance Reduction Techniques
Greeks
Monte Carlo in the BGM/J Framework
Non-recombining Trees
Miscellanea
Bibliography
Index
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.
https://www.wiley.com/en-us/Monte+Carlo+Methods+in+Finance-p-9780471497417
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