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Monte Carlo by Bruno Dupire (Editor)

  • Monte Carlo

  • Methodologies and Applications for Pricing and Risk Management

  • by Bruno Dupire
Usually ships within 5 to 7 working days

    • Product code: 9487
    • ISBN: 189933291X, ISBN13: 9781899332915, 340 pages, paperback
      Published by Risk Books in 1998 , New title edition
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    Description of Monte Carlo

    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.

    Contents of Monte Carlo

    Authors
    Introduction

    Part I: Generalities

    1. Options: A Monte Carlo Approach
    2. Monte Carlo Methods for Security Pricing
    3. Monte Carlo Toolkit

    Part II: Pricing

    4. Dimension Reduction and Other Ways of Speeding Monte Carlo Simulation
    5. Average Intelligence
    6. Beyond Average Intelligence
    7. Strata Gems
    8. Recovering Identity
    9. Greeks in Monte Carlo
    10. Quicker on the Curves
    11. Exact Exotics
    12. Monte Carlo Simulation of Options on Joint Minima and Maxima
    13. Model calibration in the Monte Carlo Framework

    Part III: American Style

    14. Valuing American Options in a Path-Simulation Model
    15. Numerical valuation of High-Dimensional Multivariate American Securities
    16. Monte Carlo Methods for Pricing High-Dimensional American Options: an Overview


    Pat IV: Fixed Income

    17. Pricing Interest Rate Exotics by Monte Carlo Simulation
    18. Efficient and Flexible Bond Option Valuation in the Heath, Jarrow and Morton Framework
    19. Term Structure Dynamics and Mortgage Valuation

    Part V: VAR

    20. Calculating Value-at-Risk with Monte Carlo Simulation
    21. Beyond VAR and Stress Testing
    22. Using Non-Normal Monte Carlo Simulation to Compute Value-at-Risk
    23. Scrambled Nets for Value-at-Risk Valuation

    Part VI: Deterministic Methods

    24. Quasi-Monte Carlo Methods in Numerical Finance
    25. New Methodologies for Valuing Derivatives
    26. Valuation of Mortgage-backed Securities Using Brownian Bridges to Reduce Effective Dimension
    27. Smoothness and Dimensions Reduction in Quasi-Monte Carlo Methods
    28. Beating Monte Carlo
    29. Monte Carlo Motoring
    30. Laudable Lattices
    31. Inelegant Efficiency

    Glossary of Monte Carlo Terms
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