Monte Carlo Computation in Finance

Jeremy Staum ()
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Jeremy Staum: Northwestern University, Department of Industrial Engineering and Management Sciences, Robert R. McCormick School of Engineering and Applied Science

A chapter in Monte Carlo and Quasi-Monte Carlo Methods 2008, 2009, pp 19-42 from Springer

Abstract: Abstract This advanced tutorial aims at an exposition of problems in finance that are worthy of study by the Monte Carlo research community. It describes problems in valuing and hedging securities, risk management, portfolio optimization, and model calibration. It surveys some areas of active research in efficient procedures for simulation in finance and addresses the impact of the business context on the opportunities for efficiency. There is an emphasis on the many challenging problems in which it is necessary to perform several similar simulations.

Keywords: Risk Measure; Option Price; Portfolio Optimization; Importance Sampling; American Option (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-04107-5_2

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DOI: 10.1007/978-3-642-04107-5_2

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