Monte Carlo Methods in Finance (Hardcover)

Peter Jaeckel

ISBN 10: 047149741X / ISBN 13: 9780471497417

Published by John Wiley & Sons Inc, New York, 2002

About this Item

Hardcover. 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. A guide which uses a problem solving approach and shows how to implement Monte Carlo methods, starting from first principles to advanced techniques. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.

Seller Inventory # 9780471497417

Bibliographic Details

• Title: Monte Carlo Methods in Finance (Hardcover)
• Publisher: John Wiley & Sons Inc, New York
• Publication Date: 2002
• Language: English
• ISBN 10: 047149741X
• ISBN 13: 9780471497417
• Binding: Hardcover
• Edition: 1st Edition
• Condition: new

About this title

Synopsis

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.

About the Author

Peter Jackel 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.