Monte Carlo Methods in Finance
Wiley | 2002-04-11 | ISBN: 047149741X | 304 pages | PDF | 22,6 MB
This book is pretty good as it covers lots of different areas of Monte Carlo simulation and some of the newer stuffs, such as copulae, etc. The math presentation is brief but to the point as application of the mathematics to Monte Carlo methods is the emphasis. Intuitive ideas behind the formula is explained pretty well as it tells you where certain formula can be used for. It would be helpful to have taken an advanced course in Monte Carlo methods in Finance to appreciate the book. I would personally suggest Glasserman's course at Columbia U. Prof Glasserman is also writing a book on the subject that he uses for lecture notes now. It would turn out to be an even better book to read.
Enjoy this great book! Brought to you by SMIRK
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