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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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Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (v. 53)

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From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

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