monte carlo simulation and finance - don l. mcleish
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monte carlo simulation and finance
don l. mcleish
Synopsis "monte carlo simulation and finance"
monte carlo methods have been used for decades in physics, engineering, statistics, and other fields. there are many texts that present monte carlo methods for these areas of application. there is no book specifically devoted to their use in finance. several books on derivatives and risk management include brief discussions of the basic ideas of monte carlo, but research and applications in the area have progressed so rapidly that a book dedicated to monte carlo methods in financial engineering is greatly needed.
