Paul glasserman has written an astonishingly good book that bridges financial engineering and the monte carlo method. Many problems in financial engineering focus on estimating a certain value, e. Monte carlo methods in financial engineering by paul glasserman. An accessible treatment of monte carlo methods, techniques, and applications in the field of finance and economics. Applications in financial engineering, risk management, and economics presents a timely account of the applicationsof monte carlo. Glasserman, ofr working paper, journal of financial intermediation, vol. Everyday low prices and free delivery on eligible orders. Providing readers with an indepth and comprehensive guide, the handbook in monte carlo simulation. Monte carlo methods in finance, by peter jacke errata available at monte carlo methodologies and applications for pricing and risk management, by bruno dupire editor monte carlo methods in financial engineering, by paul glasserman. Monte carlo methods in financial engineering paul glasserman. Monte carlo simulations are extensively used not only in finance but also in network modeling, bioinformatics, radiation therapy planning, physics, and meteorology, to name a few. Monte carlo methods in financial engineering by paul glasserman, 9780387004518, available at book depository with free delivery worldwide. Monte carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. This book gives a good overview of how they are used in financial engineering, with particular emphasis on pricing american options and risk management.
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