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Erschienen in:
2009 | OriginalPaper | Buchkapitel
Monte Carlo Computation in Finance
verfasst von : Jeremy Staum
Erschienen in: Monte Carlo and Quasi-Monte Carlo Methods 2008
Verlag: Springer Berlin Heidelberg
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This advanced tutorial aims at an exposition of problems in finance that are worthy of study by the Monte Carlo research community. It describes problems in valuing and hedging securities, risk management, portfolio optimization, and model calibration. It surveys some areas of active research in efficient procedures for simulation in finance and addresses the impact of the business context on the opportunities for efficiency. There is an emphasis on the many challenging problems in which it is necessary to perform several similar simulations.