Monte Carlo Methods in Financial Engineering (Applications of Mathematics, 53)
Author: Paul Glasserman
List Price: $69.95
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ISBN: 0387004513
Publisher: Springer Verlag (October, 2003)
Sales Rank: 22,061
Average Customer Rating: 4 out of 5
Customer Reviews
Rating: 5 out of 5
a great buy
This is the best book I've read in the last year on mathematical finance. It is a tightly focussed text on Monte Carlo methods no more no less. So you won't find things like day count fracs because that's not what it's about. Glasserman is a true expert on the topic. My highlight was the chapter on variance reduction where the vast amount of detailed knowledge taught me a lot, although I implement monte carlo pricing models on a day to day basis.
Rating: 2 out of 5
Compared to the best, this is average.
This book has a good explanation of Monte Carlo methods, but so do many others. Given that the focus of this book is interest rate models, I must compare it with the best in the field, and this book falls short. The definitive encyclopedia is "Interest Rate Modelling: Financial Engineering" by Jessica James and Nick Webber. Ms. James's Ph.D. in physics and on-line experience shows through in the sound explanation and application of theory.
Glasserman falls down in the actual applications, since some of the key real-world ingredients such as day counts and quirks of the market are missing.
"Interest Rate Modelling" covers these features and more. It also reviews hundreds of publications. All the methods for term structure modeling are clearly discussed, and the authors made improvements on some of the original works. "Interest Rate Modelling" still the standard for serious professionals, and while this book is good, compared to a superior work it only merits 2.5 stars.
Rating: 5 out of 5
Monte Carlo applications and much more!
I just got this book and start reading a few topics of interest like Risk Management. The book covers a lot of material in various financial products (heavy on interest rate products) and disciplines and does a fairly detailed job. It would have been great to have expanded the book to cover some areas more in depth (credit and operational risk), but otherwise this book is pretty comprehensive in terms of Monte Carlo applications. The book also has a nice appendix section that covers stochastic calculus and other topics. I took a course by Professor Glasserman at Columbia University ages ago and the book as well as the course delivers. This book is an excellent reference for any practitioner or academic alike (highly recommended). If you had to choose, I also think this book is better than the Peter Jaeckel's book on Monte Carlo. Enjoy... Similar Products
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