This book is devoted to the use of Monte Carlo methods in finance and is the first of its kind in this area. It will serve as a reference for practitioners and researchers and will also be suitable as a graduate text for courses on computational finance.

Includes supplementary material: sn.pub/extras

Zusammenfassung
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.

Inhalt
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.