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Monte Carlo methods in financial engineering

Author: Paul Glasserman
Publisher: New York, NY : Springer, 2004.
Series: Applications of mathematics, 53.
Edition/Format:   Print book : EnglishView all editions and formats
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From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Paul Glasserman
ISBN: 0387004513 9780387004518
OCLC Number: 248883530
Description: XIII, 596 Seiten : Diagramme.
Contents: Foundations.- Generating Random Numbers and Random Variables.- Generating Sample Paths.- Variance Reduction Techniques.- Quasi-Monte Carlo Methods.- Discretization Methods.- Estimating Sensitivities.- Pricing American Options.- Applications in Risk Management.- Appendices
Series Title: Applications of mathematics, 53.
Responsibility: Paul Glasserman.
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"Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, Read more...

 
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