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Zusatztext Dieses Buch ist ein handlicher und praktischer Leitfaden zur Monte CarloSimulation (MCS). Er gibt eine Einführung in Standardmethoden und fortgeschritteneVerfahren! um die zunehmende Komplexität derivativer Portfolios besserzu erfassen. Das hier behandelte Spektrum von MCS-Anwendungen reicht vonder Preisbestimmung komplexerer Derivate! z.B. von amerikanischen und asiatischenOptionen! bis hin zur Messung des Value at Risk und zur Modellierung komplexerMarktdynamik. Anhand einer Vielzahl praktischer Beispiele wird erläutert!wie man Monte Carlo Methoden einsetzt. Dabei gehen die Autoren zunächstauf die Grundlagen und danach auf fortgeschrittene Techniken ein. Darüberhinaus geben sie nützliche Tipps und Hinweise für das Entwickeln und Arbeitenmit MCS-Methoden. Die Autoren sind Experten auf dem Gebiet der Monte CarloSimulation und verfügen über langjährige Erfahrung im Umgang mit MCS-Methoden.Die Begleit-CD enthält Excel Muster Spreadsheets sowie VBA und C++ CodeSnippets! die der Leser installieren und so mit den im Buch beschriebenenBeispiele frei experimentieren kann. "Monte Carlo Methods in Finance" -ein unverzichtbares Nachschlagewerk für quantitative Analysten! die beider Bewertung von Optionspreisen und Riskmanagement auf Modelle zurückgreifenmüssen. Informationen zum Autor Peter Jackel currently works at Commerzbank Securities in London as a quant in the front office product development and derivatives modelling group. Prior to that he worked within the NatWest Group/Royal Bank of Scotland Quantitative Research Centre. He started his career in finance with his employment at Nikko Securities' London operation. Klappentext "There is no book on the market to compare with Dr Jäckel's. All the techniques, the tricks, the pitfalls of this important methodology are covered in detail and with great insight. This is no book on abstract theory, Dr Jäckel is a practitioner who has implemented every single one of these ideas. He has done all the hard work, so you don't have to." Paul Wilmott"Few expert practitioners also have the academic expertise to match Peter Jäckel's in this area, let alone take the trouble to write a most accessible, comprehensive and yet self contained text. This book is a delight to read and contains a wealth of information that is essential for anyone involved with implementing Monte Carlo methods in finance." Professor Carol Alexander, ISMA Centre, University of Reading, UK" This book is a very welcome addition to the growing literature on applied quantitative methods in finance. Dr Jäckel has done the field a service in combining both a thorough review of 'standard' material with techniques that were learned on the job as a quant at top financial institutions." Michael Curran, Quantin' LeapBased on the author's own experience, Monte Carlo Methods in Finance adopts a practical flavour throughout, the emphasis being on financial modelling and derivatives pricing. Numerous real world examples help the reader foster an intuitive grasp of the mathematical and numerical techniques needed to solve particular financial problems. At the same time, the book tries to give a detailed explanation of the theoretical foundations of the various methods and algorithms presented.Monte Carlo methods have been used in the financial community for many years for addressing complex financial calculations. Recent advances by both practitioners and academic researchers in the area of fast convergence methods, together with the improvements achieved by the manufacturers of computer hardware, make Monte Carlo simulations more and more frequently the method of choice. In this long needed book on modern Monte Carlo methods in finance, Peter Jäckel provides an introduction to many of the leading edge techniques available. Zusammenfassung A guide which uses a problem solving approach and shows how to implement Monte Carlo methods, starting...
