• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Best Book on Monte-Carlo

Flex

Joined
2/16/11
Messages
34
Points
16
Hi,

I wanted to buy the book MC Methods inFinancial Engineering by Paul Glasserman, but it was rated very bad at Amazon.

It is on the "best-selling books" list, thus I would like to know what you guys think about the book and if it is worth buying and/or reading it.

I have already read the first pages and it seemed to be good but I am new to MC methods so it is hard to judge for me.

Would you recommend any other book on MC?

Thanks for your input!

Cheers
 
Glasserman's book is the book I would receommend on Monte Carlo methods as well.
 
The simplest (and hence most accessible) one I know of is Ross's "Simulation." A more advanced -- yet still accessible -- treatment is Fishman's "A First Course in Monte Carlo." More advanced than this -- but more thorough -- is Robert and Casella's "Monte Carlo Statistical Methods."
 
Glasserman's book is really a good book. I have seen the contents.
 
BTW, if you are searching for MC as a general technique then Glasserman is a good read but if you wannt get some specialized methods try to look them up in specific textbooks. For example for VAR Phillipe Jorion introduces the topics how you can use them. (Not fully covered though). For derivatives, McDonalds's Derivatives Markets fits the bill...
 
Mea culpa: forgot to mention:

1) Simulation Techniques in Financial Risk Management, by Chan and Wong. Code is in SPlus but you should be able to run it in R.

2) Numerical Methods in Finance and Economics, by Brandimarte. Uses MatLab. This is just a beutiful book overall, to be guarded jealously and kept in a safe.
 
I myself have read some useful articles about Monte Carlo simulations which proved very helpful. I was searching for specific subjects as I mentioned above though.
 
Matrix Algebra Theory, Computations, and Applications in Statistics by James E. Gentle.

@Jacksc
 
Back
Top