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Monte Carlo Methods in Finance

Monte Carlo Methods in Finance

Peter Jäckel

ISBN: 978-0-471-49741-7

Apr 2002

238 pages

Select type: Hardcover

In Stock



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.


Mathematical Notation


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


Monte Carlo in the BGM/J Framework

Non-recombining Trees