Monte Carlo Methods in Financial Engineering 2024 pdf epub mobi 电子书

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发表于2024-12-25

Monte Carlo Methods in Financial Engineering 2024 pdf epub mobi 电子书

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FE领域的圣经似乎比较多，除了公认的那本hull的入门，shreve的那两本金融随机分析以及这本书都有人将bible的名头冠于其上，其实某种程度上是因为这本书十分的popular。本书很实用，紧扣标题，就是围绕着金融工程中蒙特卡洛的应用展开，似乎有点废话，但是真正读过的人可能会有...

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作者是哥大有名的教授，书中实例很多，从简单的原理讲起，到复杂的衍生品定价和风险管理，读完后让人对Monte Carlo有了更深刻的认识。最强的是作者给了很多程序上的指导，让读者很容易上手编写程序。http://www.QuantHR.com/bbs

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这本书被作为蒙特卡罗方法在金融方面应用的标准参考文献。这本书的编排在前几章中没有特别出奇，和大多数书一样，从基本原理讲起，进一步的随机数发生器介绍，方差缩减技术，导数计算。与众不同的是他最后两章，美式期权和风险度量。美式期权部分是格拉斯曼的专长，他浓墨重彩...

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出版者:Springer

作者:Paul Glasserman

出品人:

页数:616

译者:

出版时间:2003-8-7

价格:GBP 49.99

装帧:Hardcover

isbn号码:9780387004518

丛书系列:

图书标签: 金融工程金融 quant Finance 数学 quantitative monte 金融数学

Monte Carlo Methods in Financial Engineering 2024 pdf epub mobi 电子书图书描述

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."

Monte Carlo Methods in Financial Engineering 2024 pdf epub mobi 电子书

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