Bookcover of Monte Carlo Methods
Booktitle:

Monte Carlo Methods

An Application to Pricing Interest Rate Derivatives

VDM Verlag Dr. Müller (2009-10-06 )

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ISBN-13:

978-3-639-20401-8

ISBN-10:
3639204018
EAN:
9783639204018
Book language:
English
Blurb/Shorttext:
With rising complexity and diversity of upcoming derivative securities, analytically tractable or closed-form pricing methods are difficult to find or sometimes even inexistent. Monte Carlo simulation represents a powerful and flexible alternative pricing method. The goal of this book is to discuss and implement the fundamentals of Monte Carlo methods and to introduce the wide use of this approach in finance, especially in pricing interest rate derivatives. The book provides an extensive treatment of the entire Monte Carlo simulation theory and is roughly divided into three parts. The first part focuses on random number generation and on increasing efficiency methods for Monte Carlo, such as variance reduction techniques or low-discrepancy sequences. In the following part different term structure models are developed and the link to the simulation theory is established. In the third and final part ordinary and extended Monte Carlo algorithms are implemented and corresponding simulations are run in order to analyze Bermudan swaption prices in detail. The target audience of this book is finance graduate students or professionals with similar background and interests.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Roman Frey
Number of pages:
136
Published on:
2009-10-06
Stock:
Available
Category:
Economics
Price:
59.00 €
Keywords:
Monte Carlo, Simulation, random numbers, variance reduction, low-discrepancy sequences, interest rate derivatives, term structure modeling, least-squares Monte Carlo, low-discrepancy sequences

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