Open AccessBook
Monte Carlo methods in finance
Reads0
Chats0
TLDR
This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios.Abstract:
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.read more
Citations
More filters
Journal ArticleDOI
Explaining prediction models and individual predictions with feature contributions
Erik Štrumbelj,Igor Kononenko +1 more
TL;DR: A sensitivity analysis-based method for explaining prediction models that can be applied to any type of classification or regression model, and which is equivalent to commonly used additive model-specific methods when explaining an additive model.
Book
Handbook of Monte Carlo Methods
TL;DR: Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research.
Book
Monte Carlo and Quasi-Monte Carlo Sampling
TL;DR: The Monte Carlo method has been used in many applications, e.g., for algebra, beyond numerical integration, this article, and for error and variance analysis for Halton sequences.
Journal ArticleDOI
A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
TL;DR: The new full truncation scheme is introduced, tailored to minimize the positive bias found when pricing European options and outperforms all considered biased schemes in terms of bias and root-mean-squared error.
MonographDOI
Applied Stochastic Processes and Control for Jump-Diffusions
TL;DR: In this paper, the authors present a self-contained, practical, entry-level text integrating the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump-diffusions in continuous time.