Product 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'.

Product Details

• Amazon Sales Rank: #258414 in Books
• Published on: 2003-09-11
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 602 pages

Review
"Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers … You will want to have prior knowledge of both the Monte Carlo method and financial engineering. If you do, you will find the book to be a goldmine … So often, financial engineering texts are very theoretical. This book is not. The Monte Carlo method serves as a unifying theme that motivates practical discussions of how to implement real models on real trading floors. You will learn plenty of financial engineering amidst these pages. The writing is a pleasure to read. Topics are timely and relevant. Glasserman's is a must-have book for financial engineers." --Glyn Holton, Contingency AnalysisMathematical Reviews, 2004

"To keep it short, let me summarize the recension in one phrase: Paul Glausserman s book is a strong buy for everybody in the financial community. ... one gets 596 pages full of valuable information on all aspects of Monte Carlo simulation. ... Altogether, I can encourage everyone interested in Monte Carlo methods in finance to read the book. It is very well written ... comes with a carefully selected bibliography (358 references) and a helpful index, thus making it really worth the buy." --Ralf Werner, OR Spectrum Operations Research Spectrum, Issue 27, 2005

"The publication of this book is an important event in computational finance. For many years, Monte Carlo methods have been successfully applied to solve diverse problems in financial mathematics. By publishing this book the author deserves much credit for a very good attempt to lift such applications to a new level. … the book may well become a major reference in the field of applications of Monte Carlo methods in financial engineering. This is because the book is well structured and well written … ." --A Zhigljavsky, Journal of the Operational Research Society, Vol. 57, 2006

Customer Reviews

Outstanding!
A truly outstanding book, it covers all areas of applications of Monte-Carlo to problems in math finance, and covers them really well. This is one of the few math finance books that are really worth to be in one's personal library. You will be going back to it often, and will always find relevant, concise information with clear explanations and relevant examples. Running a quantitative research group in one of the major banks, I typically do not waste time on math finance books, as most are either trivial or irrelevant. This one is a rare exception.

Comprehensive cover on monte carlo in financial engineering
A must have reference if you'd like work in Monte Carlo simulation for finance. Covers most issues you would need, good explaination and useful examples..