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Monte Carlo simulation methods are among the most powerful and broadly applicable tools available for valuing derivatives and other financial securities. Recent exponential increases in the power and speed of computers have greatly expanded the scope, efficiency, and accuracy of Monte Carlo simulations, leading to the need for a comprehensive and thoroughly updated reference on the use of Monte Carlo techniques for financial engineering and modeling.
Monte Carlo Simulation and Finance provides financial engineers, researchers, and students with today's most detailed and application-based examination of Monte Carlo modeling techniques. Filled with valuable insights and methodologies for formulating the problem at hand; setting specific objectives; choosing and implementing the most applicable model; determining parameters; running the simulation; and documenting results and conclusions in light of the simulation results, the book features:
Monte Carlo Simulation and Finance is an essential reference for anyone, professional or academic, looking to design and implement accurate models for securities pricing and risk management. Further theoretical and mathematical information supporting theconcepts discussed throughout this book also appear in an online appendix at www.wiley.com/go/mcleish. Today's most up-to-date and results-based guide to this vital area, Monte Carlo Simulation and Finance is certain to set the standard for Monte Carlo reference texts throughout the remainder of this decade.