Monte Carlo Methodologies and Applications for Pricing and Risk Management [Paperback]

Bruno (ed) Dupire (Author), Bruno Dupire (Author)

Book Description

ISBN-10: 189933291X | ISBN-13: 978-1899332915 | Publication Date: October 1998 | Edition: 1

This work is a useful reference book of classic research and new writing on the methodologies and applications of Monte Carlo simulation. It sets out to provide a unique route map, and is selected and introduced by leading practitioner and theoretician, Bruno Dupire. Topics include: dimension reduction and other ways of speeding Monte Carlo simulation; strata gems; Greeks in Monte Carlo; Monte Carlo simulation of options on joint minima and maxima; model calibration in the Monte Carlo framework; and numerical valuation of high-dimensional multivariate American securities.

Editorial Reviews

Review

Dupire puts Monte Carlo in a logical framework...excellent introductions to each section summarising the papers clearly -- Rich Tannenbaum, Savvysoft

Product Details

• Paperback: 340 pages
• Publisher: Risk Publications; 1 edition (October 1998)
• Language: English
• ISBN-10: 189933291X
• ISBN-13: 978-1899332915
• Product Dimensions: 11.6 x 8.3 x 1.3 inches
• Shipping Weight: 3 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
• Amazon Best Sellers Rank: #2,984,162 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

0 of 1 people found the following review helpful:

5.0 out of 5 stars Monte-Carlo Topics from Practicioners, December 1, 2005

By 

THOMAS E. DAY "Tom" (Boston, MA) - See all my reviews
(REAL NAME)   

This review is from: Monte Carlo Methodologies and Applications for Pricing and Risk Management (Paperback)

This is a book along the lines of a Fabozzi text, where the editor - Bruno Dupire - at the behest of Risk Publications runs through the best articles written by practicioners on a topic of extreme importance to model developers, MBS/CMO/ABS quants, and other financial engineers who are interest in exploring numerical integration methods through simulation. I've read most of the books out there on MCS and this one is one of the best. I particularly enjoy the practical analyses presented, the benchmarking, the references, and the formulas. Well done.