Monte Carlo Methods in Finance (Wiley Frontiers in Finance)

Peter Jäckel

ISBN 10: 047149741X / ISBN 13: 9780471497417

Published by Wiley, 2002

About this Item

Gut/Very good: Buch bzw. Schutzumschlag mit wenigen Gebrauchsspuren an Einband, Schutzumschlag oder Seiten. / Describes a book or dust jacket that does show some signs of wear on either the binding, dust jacket or pages.

Seller Inventory # M0047149741X-V

Bibliographic Details

• Title: Monte Carlo Methods in Finance (Wiley Frontiers in Finance)
• Publisher: Wiley
• Publication Date: 2002
• Language: English
• ISBN 10: 047149741X
• ISBN 13: 9780471497417
• Binding: Hardcover
• Condition: very good

About this title

Synopsis

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.
The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.

About the Author

Peter Jackel currently works at Commerzbank Securities in London as a quant in the front office product development and derivatives modelling group. Prior to that he worked within the NatWest Group/Royal Bank of Scotland Quantitative Research Centre. He started his career in finance with his employment at Nikko Securities' London operation.