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Description of Monte Carlo Methods in Financial Engineering: v. 53

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

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Title Information

ISBN:

9780387004518

Pages:

616 pages

Format:

Hardback

Product Code:

16497

Publisher:

Springer-Verlag New York Inc.

Published:

11/09/2003

Edition:

illustrated edition

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Contents of Monte Carlo Methods in Financial Engineering: v. 53

1. Foundations
Principles of Monte Carlo
Principles of Derivatives Pricing

2. Generating Random Numbers and Random Variables
Random Number Generation
General Sampling Methods
Normal Random Variables and Vectors

3. Generating Sample Paths
Brownian Motion
Gaussian Short Rate Models
Square-Root Diffusions
Processes with Jump
Forward Rate Models: Continuous Rates
Forward Rate Models: Simple Rates

4. Variance Reduction Techniques
Control Variates
Antithetic Variates
Stratified Sampling
Latin Hypercube Sampling
Matching Underlying Assets
Importance Sampling
Concluding Remarks

5. Quasi-Monte Carlo Methods
General Principles
Low-Discrepancy Sequences
Lattice Rules
Randomized QMC
The Finance Setting
Concluding Remarks

6. Discretization Methods
Introduction
Second-Order Methods
Extensions
Extremes and Barrier Crossings: Brownian Interpolation
Changing Variables
Concluding Remarks

7. Estimating Sensitivities
Finite-Difference Approximations
Pathwise Derivative Estimates
The Likelihood Ratio Method
Concluding Remarks

8. Pricing American Options
Problem Formulation
Parametric Approximations
Random Tree Methods
State-Space Partitioning
Stochastic Mesh Methods
Regression-Based Methods and Weights
Duality
Concluding Remarks

9. Applications in Risk Management
Loss Probabilities and Value-at-Risk
Variance Reduction Using the Delta-Gamma Approximation
A Heavy-Tailed Setting
Credit Risk
Concluding Remarks

A Appendix: Convergence and Confidence Intervals
B Appendix: Results from Stochastic Calculus
C Appendix: The Term Structure of Interest Rates

References
Index