p>Dupire puts Monte Carlo in a logical framework... excellent introductions to each
section summarising the papers clearly."
Rich Tannenbaum, Savvysoft
A core reference of classic research and new writing on the methodologies and
applications of Monte Carlo simulation.
- An edited collection of new writing and reference papers structured to provide a unique
routemap through Monte Carlo
- Selected and introduced by leading practitioner and theoretician, Bruno Dupire
- Covers pricing, Monte Carlo methodologies, yield curve models, fixed income and
generalities
Table of contents
Authors
Introduction
Bruno Dupire of Nikko Financial Products
GENERALITIES
Options: A Monte Carlo Approach
Phelim P. Boyle of University of Waterloo
Monte Carlo Methods for Security Pricing
Phelim P. Boyle of University of Waterloo, Mark Broadie and Paul Glasserman of Columbia
University
Monte Carlo Toolkit
Bruno Dupire of Nikko Financial Products
PRICING
Dimension Reduction and Other Ways of Speeding Monte Carlo Simulation
Bruno Dupire of Nikko Financial Products and Antoine Savine of General Re Financial
Products
Average Intelligence
Edmond Levy of HSBC MIDLAND and Stuart Turnbull of Queens University, Canada
Beyond Average Intelligence
Michael Curran of RiskCare Ltd
Strata Gems
Michael Curran of RiskCare Ltd
Recovering Identity
Michael Curran of RiskCare Ltd
Greeks in Monte Carlo
Michael Curran of RiskCare Ltd
Quicker on the Curves
Les Clewlow of University of Warwick and Andrew Carverhill of the University of Science
and Technology, Hong Kong
Exact Exotics
Leif Andersen and Rupert Brotherton-Ratcliffe of General Re Financial Products
Monte Carlo Simulation of Options on Joint Minima and Maxima
Leif Andersen of General Re Financial Products
Model Calibration in the Monte Carlo Framework
Raphaël Douady of Ecole Normale Supérieure, CMLA
AMERICAN-STYLE
Valuing American Options in a Path-Simulation Model
James A. Tilley of Morgan Stanley
Numerical Valuation of High-Dimensional Multivariate American Securities
Jérôme Barraquand of Salomon Brothers International and Didier Martineau of Long-Term
Captial Management
Monte Carlo Methods for Pricing High-Dimensional American Options: An Overview
Mark Broadie and Paul Glasserman of Columbia University
FIXED INCOME
Pricing Interst Rate Exotics by Monte Carlo Simulation
Les Clewlow of Lacima Consultants Ltd, Warwick Business School and Chris Strickland of the
University of Technology, Sydney, Australia
Efficient and Flexible Bond Option Valuation in the Heath, Jarrow and Morton Framework
Andrew Carverhill of Hong Kong University of Science and Technology and Kin Pang of Morgan
Stanley Dean Witter & Co
Term Structure Dynamics and Mortgage Valuation
Oren Cheyette of BARRA Inc
VAR
Calculating Value-at-Risk with Monte Carlo Simulation
Evan Picoult of Citibank
Beyond VAR and Stress Testing
Julian Shaw of NatWest Markets
Using Non-Normal Monte Carlo Simulation to Compute Value-at-Risk
Gerald D. Quinlan of TrueRisk Inc
Scrambled Nets for Value-at-Risk Calculations
Art Owen of Stanford University and Domingo Tavella of Align Risk Analysis
DETERMINISTIC METHODS
Quasi-Monte Carlo Methods in Numberical Finance
Corwin Joy of Positron Energy Consulting, Phelim P. Boyle and Ken Seng Tan of University
of Waterloo
New Methodologies for Valuiing Derivatives
Spassimir H. Paskov of Barclays Capital
Valuation of Mortgage-Backed Securities Using Brownian Bridges to Reduce Effective
Dimension
Russel E. Caflisch of UCLA, William Morokoff of Goldman Sachs and Art Owen of Stanford
University
Smoothness and Dimension Reduction in Quasi-Monte Carlo Methods
Bradley Moskowitz of Bettis Laboratory and Russel E. Caflisch of UCLA
Beating Monte Carlo
Anargyros Papageorgiou and Joseph Traub of Columbia University
Monte Carlo Motoring
Rupert Brotherton-Ratcliffe of General RE Financial Products
Laudable Lattices
Craig Stetson of Arizona Public Service, Steve Marshall and David Loebell of Chase
Manhattan
Inelegant Efficiency
John Barrett and Gerald Moore of Imperial College and Paul Wilmott of Imperial College and
University of Oxford
Glossary of Monte Carlo terms
Softback
340 pages
