MONTE CARLO SIMULATION IN FINANCIAL ENGINEERING

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

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Author(s)

Detail(s)

Original languageEnglish
Title of host publicationProceedings of the 2007 Winter Simulation Conference
Pages919-931
Publication statusPublished - Dec 2007
Externally publishedYes

Publication series

Name
ISSN (Print)0891-7736

Conference

Title2007 Winter Simulation Conference (WSC'07)
PlaceUnited States
CityWashington
Period9 - 12 December 2007

Abstract

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.

Citation Format(s)

MONTE CARLO SIMULATION IN FINANCIAL ENGINEERING. / Chen, Nan; Hong, L. Jeff.

Proceedings of the 2007 Winter Simulation Conference. 2007. p. 919-931 4419688.

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review