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Monte Carlo Methods in Finance

ISBN: 978-0-471-49741-7
238 pages
April 2002
Monte Carlo Methods in Finance (047149741X) cover image

Description

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.
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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
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Author Information

Peter Jäckel currently works at Commerzbank Securities in London as a quant in the front office product development and derivatives modelling group. Prior to that he worked within the NatWest Group/Royal Bank of Scotland Quantitative Research Centre. He started his career in finance with his employment at Nikko Securities' London operation.
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Monte Carlo Methods in Finance (US $173.00)

-and- An Introduction to Equity Derivatives: Theory and Practice, 2nd Edition (US $76.00)

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