Monte Carlo Methodologies and Applications for Pricing and Risk Management

By Bruno Dupire

This work is a useful reference book of classic research and new writing on the methodologies and applications of Monte Carlo simulation. It sets out to provide a unique route map, and is selected and introduced by leading practitioner and theoretician, Bruno Dupire. Topics include: dimension reduction and other ways of speeding Monte Carlo simulation; strata gems; Greeks in Monte Carlo; Monte Carlo simulation of options on joint minima and maxima; model calibration in the Monte Carlo framework; and numerical valuation of high-dimensional multivariate American securities.

• Format: Paperback
• Language: English
• ISBN: 189933291X
• ISBN13: 9781899332915
• Release Date: October 1998
• Publisher: Risk Publications
• Length: 340 Pages
• Weight: 2.70 lbs.
• Dimensions: 8.3" x 11.7"