Monte Carlo Methods in Financial Engineering : 53

作者：PaulGlasserman

出版社：Springer

副标题：53

出版年：2003-8-7

页数：616

定价：GBP49.99

装帧：Hardcover

丛书：StochasticModellingandAppliedProbability

ISBN：9780387004518

内容简介
······

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."

评论 ······

祖师爷的书，在simulation的workshop上感受到一种无奈，simulation其实是一个学科，而不是简单的工具。

好@！！！

研究哈希，偶然看到随机数，然后找到了蒙特卡罗，最后看到了这本书，看的英文版，比较详细，需要有金融学知识，力荐

帮我解决了问题。

• 下载电子版：下载地址
• 购买纸质版：京东商城
• 购买纸质版：当当网