Monte Carlo Methods in Financial Engineering

Description

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 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.

Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."
Thanks to the original uploader!






Hi. What I do not understand is why people leave this "No mirrors please" IF they are not the original contributors. I uploaded this book originally to gigapedia.org and explicitly stated that I do wish it was uploaded to mihd.net. I respect (though I disapprove) if original uploaders state no mirrors are to be used but I do not like when people who download a book (possibly from mihd.net) and then repost it request no mirrors. That is annoying - I think books are spread so that knowledge would expand. Pls, do not limit this.



Just ignore those no-mirror-clowns!!!!
If you have another link, put it in comments or make a post.

If they do not like mirrors, let them go some other place.
We will have many more links here without those punks!!!


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