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Monte Carlo Simulation and Finance Hardcover – April 1, 2005

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Product Details

  • Hardcover: 387 pages
  • Publisher: Wiley; 1 edition (April 1, 2005)
  • Language: English
  • ISBN-10: 0471677787
  • ISBN-13: 978-0471677789
  • Product Dimensions: 6.4 x 1.2 x 9.4 inches
  • Shipping Weight: 1.4 pounds (View shipping rates and policies)
  • Average Customer Review: 3.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Best Sellers Rank: #2,595,996 in Books (See Top 100 in Books)

Editorial Reviews


"...a very useful guide..."  (Zentralblatt MATH, 1117)

From the Inside Flap

"The advanced theory of finance, like many other areas in which complex mathematics plays an important part, is undergoing a revolution aided by the computer and the proliferation of powerful simulation and symbolic mathematical tools. This is the mathematical equivalent of the invention of the printing press. The numerical and computational power once reserved for the most highly trained mathematicians, scientists, and engineers is now available to any competent programmer. "
From Chapter 1

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:

  • Techniques for using performance measures to calibrate a simulation model
  • Methodologies for addressing survivorship bias
  • Variance reduction in simulation
  • Importance sampling and pricing exotic options, including Asian options and Barrier options
  • Pricing options under alternative, more realistic models
  • Quasi–Monte Carlo multiple integration methods, which often generate estimates superior to traditional Monte Carlo methods
  • Examples of van der Corput, Halton, Faure, and Sobol low-discrepancy sequences
  • Chapter-ending problems that both test newly acquired knowledge and suggest avenues for further exploration
  • An insightful discussion of the future of Monte Carlo financial simulation

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 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.

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3 of 4 people found the following review helpful By J. Ma on August 29, 2007
Format: Hardcover
I have an advanced degree from physics, and found that the contents in this book are well balanced between mathematics and physical models. The author definitely knows how to cut short at various points where very advanced math is needed. Instead, the author smartly explained only some fast results or theorems. This makes them very easy to go through, and lets readers focus on the models instead of rigorous math. The MATLAB codes are helpful as well. Problems are well designed too.

Downsides: Typos are terrible. In a few pages, typos make it impossible to read. Also, at several points, the author used very confusing symbols, such as he used "j" for the maturity time of option (pg 108). Also, in some sections, the logic of writing was very vigorous, i.e., you will read some results without knowing what they are here for, but you will see that they are used at the end of the section. Then you have to come back to the beginning and go through the whole section quickly to organize the content in a correct order in your head.

In conclusion, I will NOT recommend this book if you have other choices.
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