Monte Carlo Computation in Finance

DOI10.1007/978-3-642-04107-5_2zbMath1182.91206OpenAlexW143484056MaRDI QIDQ3405423

Jeremy Staum

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_2

zbMATH Keywords

optimizationsensitivity analysisMonte Carlohedgingmultigridvariance reductionportfolio optimizationmodel calibrationpricingrisk management

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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