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Description
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A state-of-the-art book on Monte Carlo simulation methods for finance professionals and students
Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon.
Don L. McLeish (Ontario, Canada) is Professor of Statistics and Actuarial Science at the University of Waterloo. His research has focused on statistical models for financial data, including the application of wide-tail alternatives to the normal distribution such as stable processes, and the consequences for derivatives and asset pricing.
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