• 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!

Monte-carlo simulation (Stochastic calculus)

kdmfe

Joined
6/26/18
Messages
63
Points
18
Dear Experts,

I have reasonable understanding of Stochastic calculus by having gone through Book I and II by Steven Shreve.

I now plan to get an understanding of Monte-carlo simulation methodologies/techniques.

In this regard, Can I request the members in the forum to list a few books which are good to begin with.

I prefer a combination of books which are mathematically rigorous (my primary focus) and which will briefly state why a particular topic is being discussed.

Kindly guide me.

Thank you in advance for your help.
 
Back
Top