Monte Carlo simulation and finance - McLeish, Don L. (J. Wiley, 2005)
Includes bibliographical references (pages 375-381) and index
Some 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, estimating derivatives and the Greeks -- Other methods and conclusions
Annotation 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 & ndash;Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state & ndash;of & ndash;the & ndash;art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today