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03222nmm a22003375i 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20230705150637.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
130105s2003 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780387216171 |
| -- |
978-0-387-21617-1 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519 |
| Edition number |
23 |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Glasserman, Paul. |
| 9 (RLIN) |
20468 |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Monte Carlo Methods in Financial Engineering |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc. |
by Paul Glasserman. |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
1st ed. 2003. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
|---|
| Place of publication, distribution, etc. |
New York, NY : |
| Name of publisher, distributor, etc. |
Springer New York : |
| -- |
Imprint: Springer, |
| Date of publication, distribution, etc. |
2003. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XIII, 596 p. 4 illus. |
| Other physical details |
online resource. |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1 Foundations -- 2 Generating Random Numbers and Random Variables -- 3 Generating Sample Paths -- 4 Variance Reduction Techniques -- 5 Quasi-Monte Carlo -- 6 Discretization Methods -- 7 Estimating Sensitivities -- 8 Pricing American Options -- 9 Applications in Risk Management -- A Appendix: Convergence and Confidence Intervals -- A.1 Convergence Concepts -- A.2 Central Limit Theorem and Confidence Intervals -- B Appendix: Results from Stochastic Calculus -- B.1 Itô's Formula -- B.2 Stochastic Differential Equations -- B.3 Martingales -- B.4 Change of Measure -- C Appendix: The Term Structure of Interest Rates -- C.1 Term Structure Terminology -- C.2 Interest Rate Derivatives -- References. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Mathematics. |
| 9 (RLIN) |
20469 |
|
|---|
| Topical term or geographic name entry element |
Finance, Public. |
| 9 (RLIN) |
20470 |
|
|---|
| Topical term or geographic name entry element |
Probabilities. |
| 9 (RLIN) |
20471 |
|
|---|
| Topical term or geographic name entry element |
Social sciences-Mathematics. |
| 9 (RLIN) |
20472 |
|
|---|
| Topical term or geographic name entry element |
Statistics . |
| 9 (RLIN) |
20473 |
|
|---|
| Topical term or geographic name entry element |
Econometrics. |
| 9 (RLIN) |
20474 |
|
|---|
| Topical term or geographic name entry element |
Applications of Mathematics. |
| 9 (RLIN) |
20475 |
|
|---|
| Topical term or geographic name entry element |
Public Economics. |
| 9 (RLIN) |
20476 |
|
|---|
| Topical term or geographic name entry element |
Probability Theory. |
| 9 (RLIN) |
20477 |
|
|---|
| Topical term or geographic name entry element |
Mathematics in Business, Economics and Finance. |
| 9 (RLIN) |
20478 |
|
|---|
| Topical term or geographic name entry element |
Statistical Theory and Methods. |
| 9 (RLIN) |
20479 |
|
|---|
| Topical term or geographic name entry element |
Quantitative Economics. |
| 9 (RLIN) |
20480 |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
<a href="https://doi.org/10.1007/978-0-387-21617-1">https://doi.org/10.1007/978-0-387-21617-1</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Koha item type |
e-Book |
