Monte Carlo: Methodologies and Applications for Pricing and Risk Management - Softcover

Softcover

ISBN 10: 189933291X ISBN 13: 9781899332915

Publisher: Risk Books, 1998

Synopsis

Excellent Condition. The book is unread and in excellent condition, but there are some tiny marks and creases on the cover. This work is a useful reference book of classic research and new writing on the methodologies and applications of Monte Carlo simulation. It sets out to provide a unique route map, and is selected and introduced by leading practitioner and theoretician, Bruno Dupire. Topics include: dimension reduction and other ways of speeding Monte Carlo simulation; strata gems; Greeks in Monte Carlo; Monte Carlo simulation of options on joint minima and maxima; model calibration in the Monte Carlo framework; and numerical valuation of high-dimensional multivariate American securities.

About this title

Review

On the whole Dupire has done a fine job of organising a random set of papers on Monte Carlo into a logical framework. He has also written excellent introductions to each section summarising the papers clearly. This makes the book almost as much fun as visiting the casino. -- Rich Tanenbaum, Savvysoft

Edition details

• Publisher: Risk Books
• Publication date: 1998
• Language: English
• ISBN 10: 189933291X
• ISBN 13: 9781899332915
• Binding: Paperback
• Number of pages: 340
• Editor: Dupire Bruno