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Monte Carlo Methoden im Finanzingenieurwesen von Paul Glasserman: Neu-
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Standort: Sparks, Nevada, USA
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eBay-Artikelnr.:402882104997
Artikelmerkmale
- Artikelzustand
- Book Title
- Monte Carlo Methods in Financial Engineering
- Publication Date
- 2003-08-07
- Pages
- 596
- ISBN
- 9780387004518
Über dieses Produkt
Product Identifiers
Publisher
Springer New York
ISBN-10
0387004513
ISBN-13
9780387004518
eBay Product ID (ePID)
2721135
Product Key Features
Number of Pages
Xiii, 596 Pages
Language
English
Publication Name
Monte Carlo Methods in Financial Engineering
Subject
Investments & Securities / Derivatives, Probability & Statistics / Stochastic Processes, Public Finance, Finance / Financial Engineering, Probability & Statistics / General, Applied
Publication Year
2003
Type
Textbook
Subject Area
Mathematics, Business & Economics
Series
Stochastic Modelling and Applied Probability Ser.
Format
Hardcover
Dimensions
Item Weight
40.9 Oz
Item Length
9.3 in
Item Width
6.1 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2003-050499
Dewey Edition
21
Series Volume Number
53
Number of Volumes
1 vol.
Illustrated
Yes
Dewey Decimal
658.15/5/01519282
Table Of Content
1 Foundations.- 2 Generating Random Numbers and Random Variables.- 3 Generating Sample Paths.- 4 Variance Reduction Techniques.- 5 Quasi-Monte Carlo.- 6 Discretization Methods.- 7 Estimating Sensitivities.- 8 Pricing American Options.- 9 Applications in Risk Management.- A Appendix: Convergence and Confidence Intervals.- A.1 Convergence Concepts.- A.2 Central Limit Theorem and Confidence Intervals.- B Appendix: Results from Stochastic Calculus.- B.1 Itô's Formula.- B.2 Stochastic Differential Equations.- B.3 Martingales.- B.4 Change of Measure.- C Appendix: The Term Structure of Interest Rates.- C.1 Term Structure Terminology.- C.2 Interest Rate Derivatives.- References.
Synopsis
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 techniques. 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 roughly 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 models used in financial engineering. The next part describes techniques 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 calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context.", This book is devoted to the use of Monte Carlo methods in finance andis the first of its kind in this area. It will serve as a referencefor practitioners and researchers and will also be suitable as agraduate text for courses on computational finance., This book is devoted to the use of Monte Carlo methods in finance and is the first of its kind in this area. It will serve as a reference for practitioners and researchers and will also be suitable as a graduate text for courses on computational finance.
LC Classification Number
T57-57.97
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AlibrisBooks
98,6% positive Bewertungen•1,9 Mio. Artikel verkauft
Angemeldet als gewerblicher Verkäufer
Verkäuferbewertungen (514.280)
- m***m (2299)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufI’m thrilled with my recent purchase . The website was user-friendly, and the product descriptions were accurate. Customer service was prompt and helpful, answering all my questions. My order arrived quickly, well-packaged, and the product exceeded my expectations in quality. I’m impressed with the attention to detail and the overall experience. I’ll definitely shop here again and highly recommend from this seller to others. Thank you for a fantastic experience!
- a***n (45)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufMistakenly ordered a paperback that I thought was a hardcover, not sellers fault; it was described properly on the listing. Seller still processed a refund the day I went to return the item and let me keep the item anyway. A+++ service. Book arrived quickly in great condition and for a great price. Thank you so much! Amazing seller!
- n***c (95)- Bewertung vom Käufer.Letzte 6 MonateBestätigter Kaufseller was communicative about my shipment, media mail took a while and tracking wasn't updated frequently, but seller communicated to me very quickly on status. the item came new and wrapped as described, though the packaging in it was packed wasn't sturdy and falling apart when it got to me.