Monte Carlo Methods in Finance
Monte Carlo Methods in Finance
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Summary
A guide which uses a problem solving approach and shows how to implement Monte Carlo methods, starting from first principles to advanced techniques.
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Monte Carlo Methods in Finance by Peter Jckel
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.
Peter Jackel currently works at Commerzbank Securities in London as a quant in the front office product development and derivatives modelling group. Prior to that he worked within the NatWest Group/Royal Bank of Scotland Quantitative Research Centre. He started his career in finance with his employment at Nikko Securities' London operation.
| SKU | Unavailable |
| ISBN 13 | 9780471497417 |
| ISBN 10 | 047149741X |
| Title | Monte Carlo Methods in Finance |
| Author | Peter Jäckel |
| Series | The Wiley Finance Series |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | John Wiley & Sons Inc |
| Year published | 2002-02-26 |
| Number of pages | 240 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |