Monte Carlo Methods in Finance
||List Price: $89.95
Amazon.com Price: $62.97
- Media: Hardcover
Publisher: John Wiley & Sons (11 April, 2002)
- Average Customer Review:
Based on 7 reviews.
Amazon.com Sales Rank: 16,683
for Quants only
if you're a quant, you might really love this book
if you're a person who wants to have a "basic" understanding how to use MC for consulting or product pricing with examples, you got the wrong book (not mentioning that your maths must be pretty good).
if you're looking for an Excel example on how to price some basic options, i highly recommend Jackson & Staunton or Wilmott.
This book is pretty good as it covers lots of different areas of Monte Carlo simulation and some of the newer stuffs, such as copulae, etc. The math presentation is brief but to the point as application of the mathematics to Monte Carlo methods is the emphasis. Intuitive ideas behind the formula is explained pretty well as it tells you where certain formula can be used for. It would be helpful to have taken an advanced course in Monte Carlo methods in Finance to appreciate the book. I would personally suggest Glasserman's course at Columbia U. Prof Glasserman is also writing a book on the subject that he uses for lecture notes now. It would turn out to be an even better book to read.
Competent Treatment of an Advanced Approach
This is an excellent resource for anyone already familiar with Monte Carlo modelling. Scientists making the transition to Wall Street will find this a needed supplement to Hull and other good resources. Product descriptions are also needed, especially for areas in which growth is exploding and therefore jobs are available. "Credit Derivatives" (Second Edition) by Janet Tavakoli is a great resource for getting up to speed on these products and for highlighting some of the data and modelling issues one will encounter. Although it is a product book and an applications book that helps the modeller understand how to approach the problem.
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