Monte Carlo Methods In Finance

Monte Carlo Methods in Finance

An invaluable resource for quantitative analysts who need to runmodels that assist in option pricing and risk management. Thisconcise, practical hands on guide to Monte Carlo simulationintroduces standard and advanced methods to the increasingcomplexity of derivatives portfolios. Ranging from pricing morecomplex derivatives, such as American and Asian options, tomeasuring Value at Risk, or modelling complex market dynamics,simulation is the only method general enough to capture thecomplexity and Monte Carlo simulation is the best pricing and riskmanagement method available.The book is packed with numerous examples using real world data andis supplied with a CD to aid in the use of the examples.