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关键词：
Monte Carlo Methods in Financial Engineering
书目信息
ISBN：
9780387004518（13位）
中图分类号：
F8
杜威分类号：
中文译名：
金融工程蒙特卡罗方法
作者：
Glasserman
编者：
语种：
English
出版信息
出版社：
Springer
出版地：
出版年：
2003
版本：
版本类型：
原版
丛书题名：
Stochastic Modelling and Applied Probability Vol. 53
卷期：
文献信息
关键词：
Mathematics
前言：
摘要：
内容简介：
Monte Carlo Methods are among the most broadly applicable and thus most powerful tools for valuing derivative securities and measuring their risks. As computer speeds continue to increase and new research expands the scope and efficiency of these methods, their use is destined to grow. This book is devoted to the use of Monte Carlo methods in finance. Advances in Monte Carlo methods in financial engineering take place at the interface between academic research and industry practice. This book targets that interface developing theory closely tied to applications. It is roughly divided into three parts: the first three chapters concentrate on the basics of Monte Carlo methods; the next three develop ways to improve Monte Carlo methods; and the final four chapters deal with more specialized problems arising, in particular applications of Monte Carlo to financial engineering. This book will serve as a reference for practitioners and researchers and will also be suitable as a graduate text for courses on computational finance.
目次：
Foundations.- Generating Random Numbers and Random Variables.- Generating Sample Paths.- Variance Reduction Techniques.- Quasi-Monte Carlo Methods.- Discretization Methods.- Estimating Sensitivities.- Pricing American Options.- Applications in Risk Management.- Appendices.
附录：
全文链接：
读者对象：
grad.
实体信息
页码：
装帧：
hard
尺寸：
其它形态细节：
其它信息
原价：
EUR
52.9500
原版ISBN：
其它ISBN：
图书特色：
书评：
扩展信息
Isbn：
0387004513
issue：
2006JC01
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