V vickymaj Joined 8/8/13 Messages 56 Points 18 4/12/16 #1 Hi,can someone please suggest a good book on Monte Carlo Simulation for Pricing Derivatives? Don't want a book which is too complicated like a PhD level. A Masters level should be good. Thanks a lot in advance
Hi,can someone please suggest a good book on Monte Carlo Simulation for Pricing Derivatives? Don't want a book which is too complicated like a PhD level. A Masters level should be good. Thanks a lot in advance
M mhy Joined 1/11/13 Messages 507 Points 53 4/12/16 #2 Glasserman - Monte Carlo Methods in Financial Engineering
M mhy Joined 1/11/13 Messages 507 Points 53 4/13/16 #4 Here are the texts that were recommended (not required) for CMU MSCF's Monte Carlo course (I took it last year). Amazon.com: Stochastic Simulation: Algorithms and Analysis (Stochastic Modelling and Applied Probability, No. 57) (No. 100) (9780387306797): Søren Asmussen, Peter W. Glynn: Books Monte Carlo Methodologies and Applications for Pricing and Risk Management: Bruno Dupire: 9781899332915: Amazon.com: Books Monte Carlo Simulation and Finance: Don L. McLeish: 9780471677789: Amazon.com: Books Numerical Recipes 3rd Edition: The Art of Scientific Computing: William H. Press, Saul A. Teukolsky, William T. Vetterling, Brian P. Flannery: 9780521880688: Amazon.com: Books
Here are the texts that were recommended (not required) for CMU MSCF's Monte Carlo course (I took it last year). Amazon.com: Stochastic Simulation: Algorithms and Analysis (Stochastic Modelling and Applied Probability, No. 57) (No. 100) (9780387306797): Søren Asmussen, Peter W. Glynn: Books Monte Carlo Methodologies and Applications for Pricing and Risk Management: Bruno Dupire: 9781899332915: Amazon.com: Books Monte Carlo Simulation and Finance: Don L. McLeish: 9780471677789: Amazon.com: Books Numerical Recipes 3rd Edition: The Art of Scientific Computing: William H. Press, Saul A. Teukolsky, William T. Vetterling, Brian P. Flannery: 9780521880688: Amazon.com: Books
