Peter Jaeckel Monte Carlo Methods in Finance

ISBN 13 : 9780471497417

Monte Carlo Methods in Finance

Note moyenne 4,33
( 12 avis fournis par Goodreads )
 
9780471497417: Monte Carlo Methods in Finance

An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available.
The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

From the Back Cover :

"There is no book on the market to compare with Dr Jäckel's. All the techniques, the tricks, the pitfalls of this important methodology are covered in detail and with great insight. This is no book on abstract theory, Dr Jäckel is a practitioner who has implemented every single one of these ideas. He has done all the hard work, so you don't have to." Paul Wilmott

"Few expert practitioners also have the academic expertise to match Peter Jäckel's in this area, let alone take the trouble to write a most accessible, comprehensive and yet self contained text. This book is a delight to read and contains a wealth of information that is essential for anyone involved with implementing Monte Carlo methods in finance." Professor Carol Alexander, ISMA Centre, University of Reading, UK

" This book is a very welcome addition to the growing literature on applied quantitative methods in finance. Dr Jäckel has done the field a service in combining both a thorough review of 'standard' material with techniques that were learned on the job as a quant at top financial institutions." Michael Curran, Quantin' Leap

Based on the author's own experience, Monte Carlo Methods in Finance adopts a practical flavour throughout, the emphasis being on financial modelling and derivatives pricing. Numerous real world examples help the reader foster an intuitive grasp of the mathematical and numerical techniques needed to solve particular financial problems. At the same time, the book tries to give a detailed explanation of the theoretical foundations of the various methods and algorithms presented.

Monte Carlo methods have been used in the financial community for many years for addressing complex financial calculations. Recent advances by both practitioners and academic researchers in the area of fast convergence methods, together with the improvements achieved by the manufacturers of computer hardware, make Monte Carlo simulations more and more frequently the method of choice. In this long needed book on modern Monte Carlo methods in finance, Peter Jäckel provides an introduction to many of the leading edge techniques available.

From the Inside Flap :

Monte Carlo Methods in Finance is an important reference for those working in investment banks, insurance and strategic management consultancy. Of particular importance are the many known variance reduction methods, and they are duly covered, not only in their own right, but also with respect to their potential combinations, and in the direct context of realistic applications. Most notably, the issue of the reliability of low-discrepancy numbers in high dimensions is discussed in detail. The book also contains an introduction to the theory of copulæ as an extension to the modelling of correlation of financial securities. An entire chapter is dedicated to the evaluation of interest rate derivatives in the Brace-Gatarek-Musiela/Jamshidian framework by the aid of fast-convergence Monte Carlo simulations. What's more, for the first time, this book also gives a description of the construction of non-recombining trees. Whilst non-recombining trees are usually not viable in a production environment, they often are the very tool of last resort when Monte Carlo approximations to problems such as Bermudan swaptions are to be tested, and the tricks for the construction of non-recombining trees presented in this book are invaluable for that purpose.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Meilleurs résultats de recherche sur AbeBooks

1.

Jaeckel, Peter
Edité par Wiley (2002)
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Couverture rigide Quantité : 2
Vendeur
Murray Media
(North Miami Beach, FL, Etats-Unis)
Evaluation vendeur
[?]

Description du livre Wiley, 2002. Hardcover. État : New. Never used!. N° de réf. du libraire P11047149741X

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 42,36
Autre devise

Ajouter au panier

Frais de port : EUR 16,87
De Etats-Unis vers France
Destinations, frais et délais

2.

Jaeckel, Peter
Edité par Wiley
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Couverture rigide Quantité : 1
Vendeur
Cloud 9 Books
(Wellington, FL, Etats-Unis)
Evaluation vendeur
[?]

Description du livre Wiley. Hardcover. État : New. 047149741X New Condition. N° de réf. du libraire NEW7.0874085

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 52,14
Autre devise

Ajouter au panier

Frais de port : EUR 33,75
De Etats-Unis vers France
Destinations, frais et délais

3.

Peter Jaeckel
Edité par Wiley (2002)
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Couverture rigide Edition originale Quantité : 1
Vendeur
Irish Booksellers
(Rumford, ME, Etats-Unis)
Evaluation vendeur
[?]

Description du livre Wiley, 2002. Hardcover. État : New. book. N° de réf. du libraire M047149741X

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 78,47
Autre devise

Ajouter au panier

Frais de port : EUR 10,13
De Etats-Unis vers France
Destinations, frais et délais

4.

Peter Jackel
Edité par John Wiley and#38; Sons (2002)
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Quantité : > 20
Vendeur
Books2Anywhere
(Fairford, GLOS, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre John Wiley and#38; Sons, 2002. HRD. État : New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. N° de réf. du libraire FW-9780471497417

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 81,79
Autre devise

Ajouter au panier

Frais de port : EUR 11,23
De Royaume-Uni vers France
Destinations, frais et délais

5.

Peter Jackel
Edité par John Wiley and Sons Ltd, United Kingdom (2002)
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Edition originale Quantité : 10
Vendeur
The Book Depository US
(London, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre John Wiley and Sons Ltd, United Kingdom, 2002. Mixed media product. État : New. 1. Auflage. Language: English . Brand New Book. An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples. N° de réf. du libraire AAH9780471497417

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 92,68
Autre devise

Ajouter au panier

Frais de port : EUR 1,35
De Royaume-Uni vers France
Destinations, frais et délais

6.

Peter Jäckel
Edité par Wiley 2002-02-26, Chichester (2002)
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Couverture rigide Quantité : > 20
Vendeur
Blackwell's
(Oxford, OX, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre Wiley 2002-02-26, Chichester, 2002. hardback. État : New. N° de réf. du libraire 9780471497417

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 93,67
Autre devise

Ajouter au panier

Frais de port : EUR 3,37
De Royaume-Uni vers France
Destinations, frais et délais

7.

Peter Jäckel
Edité par John Wiley and Sons
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Quantité : > 20
Vendeur
INDOO
(Avenel, NJ, Etats-Unis)
Evaluation vendeur
[?]

Description du livre John Wiley and Sons. État : New. Brand New. N° de réf. du libraire 047149741X

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 85,63
Autre devise

Ajouter au panier

Frais de port : EUR 15,19
De Etats-Unis vers France
Destinations, frais et délais

8.

Peter Jackel
Edité par John Wiley and Sons Ltd, United Kingdom (2002)
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Edition originale Quantité : 10
Vendeur
The Book Depository
(London, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre John Wiley and Sons Ltd, United Kingdom, 2002. Mixed media product. État : New. 1. Auflage. Language: English . Brand New Book. An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples. N° de réf. du libraire AAH9780471497417

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 99,58
Autre devise

Ajouter au panier

Frais de port : EUR 1,35
De Royaume-Uni vers France
Destinations, frais et délais

9.

Peter Jackel
Edité par John Wiley and Sons Ltd, United Kingdom (2002)
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Edition originale Quantité : 10
Vendeur
Book Depository hard to find
(London, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre John Wiley and Sons Ltd, United Kingdom, 2002. Mixed media product. État : New. 1. Auflage. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples. N° de réf. du libraire BZV9780471497417

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 130,26
Autre devise

Ajouter au panier

Frais de port : EUR 1,35
De Royaume-Uni vers France
Destinations, frais et délais

10.

JACKEL
ISBN 10 : 047149741X ISBN 13 : 9780471497417
Neuf(s) Couverture rigide Quantité : 1
Vendeur
Herb Tandree Philosophy Books
(Stroud, GLOS, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre 2002. Hardback. État : NEW. 9780471497417 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. N° de réf. du libraire HTANDREE01303986

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 132,94
Autre devise

Ajouter au panier

Frais de port : EUR 8,98
De Royaume-Uni vers France
Destinations, frais et délais

autres exemplaires de ce livre sont disponibles

Afficher tous les résultats pour ce livre