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[作者/译者] Peter Jaeckel (Author)     
[出版社] Wiley-Interscience
[关键词] initialisation numbers, unit initialisation, interpolated implied volatility curve, Monte Carlo, Density of Ali-Mikhail-Haq, Density of Clayton
[内容简介]
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available.
[版本] April 11, 2002，英文
[文件格式] PDF  RAR
[是否完整] 是
[ISBN号] ISBN-10: 047149741X ISBN-13: 978-0471497417     
[是否是扫描版] 否
[目录]
Preface
Acknowledgements
Mathematical Notation
Introduction
The Mathematics Behind Monte Carlo Methods
Stochastic Dynamics
Process-driven Sampling
Correlation and Co-movement
Salvaging a Linear Correlation Matrix
Pseudo-random Numbers
Low-discrepancy Numbers
Non-uniform Variates
Variance Reduction Techniques
Greeks
Monte Carlo in the BGM/J Framework
Non-recombining Trees
Miscellanea
Bibliography
Index