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. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."
具体描述
读后感
作者是哥大有名的教授，书中实例很多，从简单的原理讲起，到复杂的衍生品定价和风险管理，读完后让人对Monte Carlo有了更深刻的认识。最强的是作者给了很多程序上的指导，让读者很容易上手编写程序。http://www.QuantHR.com/bbs
评分FE领域的圣经似乎比较多，除了公认的那本hull的入门，shreve的那两本金融随机分析以及这本书都有人将bible的名头冠于其上，其实某种程度上是因为这本书十分的popular。本书很实用，紧扣标题，就是围绕着金融工程中蒙特卡洛的应用展开，似乎有点废话，但是真正读过的人可能会有...
评分FE领域的圣经似乎比较多，除了公认的那本hull的入门，shreve的那两本金融随机分析以及这本书都有人将bible的名头冠于其上，其实某种程度上是因为这本书十分的popular。本书很实用，紧扣标题，就是围绕着金融工程中蒙特卡洛的应用展开，似乎有点废话，但是真正读过的人可能会有...
评分作者是哥大有名的教授，书中实例很多，从简单的原理讲起，到复杂的衍生品定价和风险管理，读完后让人对Monte Carlo有了更深刻的认识。最强的是作者给了很多程序上的指导，让读者很容易上手编写程序。http://www.QuantHR.com/bbs
评分作者是哥大有名的教授，书中实例很多，从简单的原理讲起，到复杂的衍生品定价和风险管理，读完后让人对Monte Carlo有了更深刻的认识。最强的是作者给了很多程序上的指导，让读者很容易上手编写程序。http://www.QuantHR.com/bbs
用户评价
祖师爷的书，在simulation的workshop上感受到一种无奈，simulation其实是一个学科，而不是简单的工具。
评分好叼...
评分作者在纽约哥大，算是顶尖人物之一了。MSMF computational finance教材
评分编程参考书
评分太会写书了，深入浅出
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