| Monte Carlo Methods in Finance Contributor(s): Jäckel, Peter (Author) |
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ISBN: 047149741X ISBN-13: 9780471497417 Publisher: Wiley OUR PRICE: $171.95 Product Type: Hardcover - Other Formats Published: April 2002 Annotation: "There is no book on the market to compare with Dr Jckel'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 Jckel 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 Jckel'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 Jckel 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 financialcalculations. 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 Jckel provides an introduction to many of the leading edge techniques available. |
| Additional Information |
| BISAC Categories: - Business & Economics | Accounting - General - Business & Economics | Investments & Securities - Analysis & Trading Strategies - Business & Economics | Finance - Financial Engineering |
| Dewey: 519.282 |
| LCCN: 2001046997 |
| Series: Wiley Finance |
| Physical Information: 0.77" H x 6.84" W x 10.06" (1.30 lbs) 304 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Dieses Buch ist ein handlicher und praktischer Leitfaden zur Monte Carlo Simulation (MCS). Er gibt eine Einführung in Standardmethoden und fortgeschrittene Verfahren, um die zunehmende Komplexität derivativer Portfolios besser zu erfassen. Das hier behandelte Spektrum von MCS-Anwendungen reicht von der Preisbestimmung komplexerer Derivate, z.B. von amerikanischen und asiatischen Optionen, bis hin zur Messung des Value at Risk und zur Modellierung komplexer Marktdynamik. Anhand einer Vielzahl praktischer Beispiele wird erläutert, wie man Monte Carlo Methoden einsetzt. Dabei gehen die Autoren zunächst auf die Grundlagen und danach auf fortgeschrittene Techniken ein. Darüber hinaus geben sie nützliche Tipps und Hinweise für das Entwickeln und Arbeiten mit MCS-Methoden. Die Autoren sind Experten auf dem Gebiet der Monte Carlo Simulation und verfügen über langjährige Erfahrung im Umgang mit MCS-Methoden. Die Begleit-CD enthält Excel Muster Spreadsheets sowie VBA und C++ Code Snippets, die der Leser installieren und so mit den im Buch beschriebenen Beispiele frei experimentieren kann. Monte Carlo Methods in Finance - ein unverzichtbares Nachschlagewerk für quantitative Analysten, die bei der Bewertung von Optionspreisen und Riskmanagement auf Modelle zurückgreifen müssen. |