Monte Carlo Simulation and FinanceBook - 2005
Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon.
This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
McLeish (statistics and actuarial science, U. of Waterloo, Canada) provides mathematical instruction on the use of Monte Carlo modeling and simulation techniques for analyzing financial markets, particularly traded assets such as stocks and bonds and financial derivatives such as options. He offers chapters covering basic theory of finance; basic Monte Carlo methods; variance reduction techniques; simulating the value of options; quasi-Monte Carlo multiple integration; estimation and calibration; sensitivity analysis and estimating derivatives, and alternative models. Each chapter concludes with practice problems. Annotation ©2005 Book News, Inc., Portland, OR (booknews.com)