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10

WSC
2007

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147views Modeling And Simulation» more WSC 2007»

Monte Carlo simulation in financial engineering

13 years 6 months ago

Monte Carlo simulation in financial engineering

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This paper reviews the use of Monte Carlo simulation in the ﬁeld of ﬁnancial engineering. It focuses on several interesting topics and introduces their recent development, including path generation, pricing American-style derivatives, evaluating Greeks and estimating value-at-risk. The paper is not intended to be a comprehensive survey of the research literature.

Nan Chen, L. Jeff Hong

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Modeling And Simulation | Monte Carlo Simulation | Path Generation | Pricing American-style Derivatives | WSC 2007 |

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Added	02 Oct 2010
Updated	02 Oct 2010
Type	Conference
Year	2007
Where	WSC
Authors	Nan Chen, L. Jeff Hong

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