Methodologies and Applications for Pricing and Risk Management

R 600.00  

Subtitle: Methodologies and Applications for Pricing and Risk Management
Editor: Bruno Dupire
Publisher: Risk Books (1998)
ISBN-10: 189933291X
ISBN-13: 9781899332915
Condition: Very Good. Minor edgewear as well as creases and shelf wear to the covers. Tippex on the half title page. A minor crease to the top corner of some pages. Else contents is bright clean and tightly bound. 
Binding: Softcover
Pages: 341
Dimensions: 29.4 x 21.2 x 2 cm

Weight: 1.2 kg
We currently have 1 in stock.

This work is a useful reference book of classic research and new writing on the methodologies and applications of Monte Carlo simulation. It sets out to provide a unique route map, and is selected and introduced by leading practitioner and theoretician, Bruno Dupire.

Topics include: dimension reduction and other ways of speeding Monte Carlo simulation; strata gems; Greeks in Monte Carlo; Monte Carlo simulation of options on joint minima and maxima; model calibration in the Monte Carlo framework; and numerical valuation of high-dimensional multivariate American securities.

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