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Monte Carlo Computation in Finance

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Monte Carlo and Quasi-Monte Carlo Methods 2008

Abstract

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.

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Authors and Affiliations

  1. Department of Industrial Engineering and Management Sciences, Robert R. McCormick School of Engineering and Applied Science, Northwestern University, 2145 Sheridan Road, Evanston, Illinois, 60208-3119, USA

    Jeremy Staum

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  1. Jeremy Staum
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  1. Centre de Recherches Mathématiques, Université de Montréal, Montreal, H3C 3J7, Canada

    Pierre L' Ecuyer

  2. Dept. Statistics, Stanford University, Serra Mall 390, Stanford, 94305-4065, U.S.A.

    Art B. Owen

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Staum, J. (2009). Monte Carlo Computation in Finance. In: L' Ecuyer, P., Owen, A. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2008. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04107-5_2

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