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Monte Carlo Methods in Financial Engineering

Paul Glasserman
Stochastic Modelling and Applied Probability Series
New York: Springer, 2004
596pp, ISBN: 978-0-387-00451-8

With Monte Carlo simulation now seen as a key tool in the pricing of derivative securities and in risk management, this practical guide develops the use of Monte Carlo methods in finance and uses simulation as a vehicle for presenting models and ideas from financial engineering. It also examines the foundations of derivatives pricing, and describes techniques for improving simulation accuracy and efficiency.

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