Monte Carlo Methods in Finance, m. CD-ROM
(Sprache: Englisch)
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...
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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.
Inhaltsverzeichnis zu „Monte Carlo Methods in Finance, m. CD-ROM “
- Preface- Acknowledgements
- Mathematical Notation
- Introduction
- 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
- Greeks
- Monte Carlo in the BGM/J Framework
- Non-recombining Trees
- Miscellanea
- Bibliography
- Index
Autoren-Porträt von Peter Jäckel
Peter Jäckel 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.
Bibliographische Angaben
- Autor: Peter Jäckel
- 2002, 1. Auflage, XVI, 222 Seiten, mit Abbildungen, Maße: 17,4 x 25,6 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 047149741X
- ISBN-13: 9780471497417
Sprache:
Englisch
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