Monte Carlo Methods in Financial Engineering

by Paul Glasserman

From the "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Genres: Finance, Mathematics, Reference, Business, Textbooks

609 pages, Hardcover

First published January 1, 2003

Reviews

[Pelle · Rating 5 out of 5]

In this book you find anything you need for Monte Carlo (and Quasi Monte Carlo) methods. As the title says, the applications given are all from finance, but nevertheless it is an excellent book to give you an understanding of the different methods especially for variance reduction.

[Boris Skorodumov · Rating 5 out of 5]

Very good book, I had a chance to take this class many years ago and thus the book was easy to read.
Would recommend it to anyone who are interested in MC methods applied in quant finance world.

[Dmitri · Rating 5 out of 5]

First of all, given the price this sells at Amazon UK, you'd be silly not to get it, or to get an alternative. It's practically given out for free and, as a result, I urge you to get it, especially considering how complete and understandable this book is. This 600-page hardback covers MC like no other book I know, does it clearly and in the right progression. If financial MC is your thing, what more could you want?