Monte Carlo Methodologies for Pricing and Risk Management

Monte Carlo Methodologies for Pricing and Risk Management

MONTE CARLO METHODOLOGIES FOR PRICING AND RISK MANAGEMENT

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.