Monte Carlo methods in financial engineering
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| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY [u.a.]
Springer
2004
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| Schriftenreihe: | Applications of mathematics
53 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
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| 650 | 4 | |a Instruments dérivés (Finances) | |
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Datensatz im Suchindex
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| adam_text | Contents
1
1.1
1.1.1
1.1.2
1.1.3
1.2
1.2.1
1.2.2
1.2.3
1.2.4
2
2.1
2.1.1
2.1.2
2.1.3
2.1.4
2.1.5
2.2
2.2.1
2.2.2
2.3
2.3.1
2.3.2
2.3.3
3
3.1
3.1.1
3.1.2
3.2
Contents
3.2.1 Basic
3.2.2
3.2.3
3.3
3.3.1
3.3.2
3.3.3
3.4
3.4.1
3.4.2
3.4.3
3.4.4
3.5
3.5.1
3.5.2
3.6
3.6.1
3.6.2
3.6.3
3.7
3.7.1
3.7.2
3.7.3
3.7.4
Variance Reduction Techniques
4.1
4.1.1
4.1.2
4.1.3
4.1.4
4.2
4.3
4.3.1
4.3.2
4.3.3
4.4
4.5
4.5.1
4.5.2
4.6
4.6.1
4.6.2
4.7
Contents xi
5
5.1 General
5.1.1
5.1.2 Van der Corput
5.1.3
5.1.4
5.2
5.2.1
5.2.2
5.2.3
5.2.4
5.3
5.4
5.5
5.5.1
5.5.2
5.6
6
6.1
6.1.1
6.1.2
6.2
6.2.1
6.2.2
6.2.3
6.2.4
6.3
6.3.1
6.3.2
6.3.3
6.4
6.5
6.6
7
7.1
7.1.1
7.1.2
7.2
7.2.1
7.2.2
7.2.3
7.3
7.3.1
Contents
7.3.2
7.3.3
7.3.4
7.4
Pricing American Options
8.1
8.2
8.3
8.3.1
8.3.2
8.3.3
8.4
8.5
8.5.1
8.5.2
8.6
8.6.1
8.6.2
8.7
8.8
Applications in Risk Management
9.1
9.1.1
9.1.2
9.2
9.2.1
9.2.2
9.2.3
9.3
9.3.1
9.3.2
9.3.3
9.4
9.4.1
9.4.2
9.4.3
9.5
Appendix: Convergence and Confidence Intervals
A.I Convergence Concepts
A.2 Central Limit Theorem and Confidence Intervals
Contents xiii
В
B.I
B.2 Stochastic Differential Equations
B.3 Martingales
B.4 Change of Measure
С
C.I Term Structure Terminology
C.2 Interest Rate Derivatives
References
Index
PAUL ( iLASSKRMAN
Monte Carlo Methods in Financial Engineering
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 tech¬
niques.
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 rough¬
ly 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 mod¬
els used in financial engineering. The next part describes tech¬
niques 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 cal¬
culus. Prior exposure to the basic principles of option pricing is
useful but not essential.
The book is aimed at graduate students in financial engi¬
neering, researchers in Monte Carlo simulation, and practition¬
ers implementing models in industry.
|
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| author | Glasserman, Paul 1962- |
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| bvnumber | BV016972739 |
| callnumber-first | H - Social Science |
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| callnumber-raw | HG176.7.G57 2004 |
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| callnumber-subject | HG - Finance |
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| dewey-ones | 658 - General management |
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| dewey-sort | 3658.15 15 71519282 |
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| discipline | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV016972739 |
| illustrated | Illustrated |
| indexdate | 2025-02-03T16:57:40Z |
| institution | BVB |
| isbn | 0387004513 9780387004518 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010250156 |
| oclc_num | 52127560 |
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| physical | XIII, 596 S. graph. Darst. |
| publishDate | 2004 |
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| publisher | Springer |
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| series | Applications of mathematics |
| series2 | Applications of mathematics |
| spellingShingle | Glasserman, Paul 1962- Monte Carlo methods in financial engineering Applications of mathematics Administração de risco larpcal Derivaten (financiën) gtt Derivativos larpcal Engenharia financeira larpcal Gestion des risques rasuqam Ingénierie financière Ingénierie financière rasuqam Instrument dérivé (Finances) rasuqam Instruments dérivés (Finances) Monte Carlo-methode gtt Monte-Carlo, Méthode de Méthode de Monte-Carlo rasuqam Método de monte carlo larpcal Portfolio-theorie gtt Risque financier rasuqam Financial engineering Derivative securities Monte Carlo method Monte-Carlo-Simulation (DE-588)4240945-7 gnd Financial Engineering (DE-588)4208404-0 gnd |
| subject_GND | (DE-588)4240945-7 (DE-588)4208404-0 |
| title | Monte Carlo methods in financial engineering |
| title_auth | Monte Carlo methods in financial engineering |
| title_exact_search | Monte Carlo methods in financial engineering |
| title_full | Monte Carlo methods in financial engineering Paul Glasserman |
| title_fullStr | Monte Carlo methods in financial engineering Paul Glasserman |
| title_full_unstemmed | Monte Carlo methods in financial engineering Paul Glasserman |
| title_short | Monte Carlo methods in financial engineering |
| title_sort | monte carlo methods in financial engineering |
| topic | Administração de risco larpcal Derivaten (financiën) gtt Derivativos larpcal Engenharia financeira larpcal Gestion des risques rasuqam Ingénierie financière Ingénierie financière rasuqam Instrument dérivé (Finances) rasuqam Instruments dérivés (Finances) Monte Carlo-methode gtt Monte-Carlo, Méthode de Méthode de Monte-Carlo rasuqam Método de monte carlo larpcal Portfolio-theorie gtt Risque financier rasuqam Financial engineering Derivative securities Monte Carlo method Monte-Carlo-Simulation (DE-588)4240945-7 gnd Financial Engineering (DE-588)4208404-0 gnd |
| topic_facet | Administração de risco Derivaten (financiën) Derivativos Engenharia financeira Gestion des risques Ingénierie financière Instrument dérivé (Finances) Instruments dérivés (Finances) Monte Carlo-methode Monte-Carlo, Méthode de Méthode de Monte-Carlo Método de monte carlo Portfolio-theorie Risque financier Financial engineering Derivative securities Monte Carlo method Monte-Carlo-Simulation Financial Engineering |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010250156&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010250156&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000895226 |
| work_keys_str_mv | AT glassermanpaul montecarlomethodsinfinancialengineering |