An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.
"There is no book on the market to compare with Dr Jaeckel's. All the techniques, the tricks, the pitfalls of this important methodology are covered in detail and with great insight. This is no book on abstract theory, Dr Jaeckel is a practitioner who has implemented every single one of these ideas. He has done all the hard work, so you don't have to."
- Paul Wilmott, www.wilmott.com
"Many practitioners apply Sobolā sequences. Even more people apply these sequences under different names: in the East as LP t -sequences, in the West as (t, s)-sequences in base 2. However, very few people know how these sequences originated, how they were initialised, how they could be modernized. Dr. Peter Jaeckel is one of the few."
- Prof. I.M.Sobol, Moscow
Peter Jackel currently works at Commerzbank Securities in London as a quant in the front office product development and derivatives modelling group. Prior to that he worked within the NatWest Group/Royal Bank of Scotland Quantitative Research Centre. He started his career in finance with his employment at Nikko Securities' London operation.
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