Monte Carlo Methods In Finance

Peter Jäckel

• 26 februari 2002
• 9780471497417

Samenvatting:

A guide which uses a problem solving approach and shows how to implement Monte Carlo methods, starting from first principles to advanced techniques.

"There is no book on the market to compare with Dr Jackel'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 Jackel 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

"Few expert practitioners also have the academic expertise to match Peter Jackel's in this area, let alone take the trouble to write a most accessible, comprehensive and yet self contained text. This book is a delight to read and contains a wealth of information that is essential for anyone involved with implementing Monte Carlo methods in finance." -Professor Carol Alexander, ISMA Centre, University of Reading, UK

" This book is a very welcome addition to the growing literature on applied quantitative methods in finance. Dr Jackel has done the field a service in combining both a thorough review of 'standard' material with techniques that were learned on the job as a quant at top financial institutions." -Michael Curran, Quantin' Leap

Based on the author's own experience, Monte Carlo Methods in Finance adopts a practical flavour throughout, the emphasis being on financial modelling and derivatives pricing. Numerous real world examples help the reader foster an intuitive grasp of the mathematical and numerical techniques needed to solve particular financial problems. At the same time, the book tries to give a detailed explanation of the theoretical foundations of the various methods and algorithms presented.

Monte Carlo methods have been used in the financial community for many years for addressing complex financial calculations. Recent advances by both practitioners and academic researchers in the area of fast convergence methods, together with the improvements achieved by the manufacturers of computer hardware, make Monte Carlo simulations more and more frequently the method of choice. In this long needed book on modern Monte Carlo methods in finance, Peter Jackel provides an introduction to many of the leading edge techniques available.