Monte Carlo : methodologies and applications for pricing and risk management

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.

著者

Dupire, Bruno

出版社

Risk Books

発売日

1998年1月発売

価格

価格未定（税込・書誌情報提供：openBD）

ISBN

9781899332861

発売済み