Monte Carlo Methods in Finance
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Monte Carlo Methods in Finance

4.2/5
Product ID: 72663008
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Monte Carlo Methods in Finance

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4.2

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M**S

The classic text on Monte-Carlo

I love this book. Easy to read, and quirky in places, but rigorous and totally practical. If you need to implement or improve a Monte-Carlo engine, you need this book.

W**W

Outstanding text

Jaeckel's book is an outstanding one and I will be using it for computational finance teaching at King's College London. Its many strengths include a proper appreciation of the importance of quantile functions (inverse CDFs) and discussions of different approaches to multivariate simulation including copula techniques (introductory) and low-discrepancy sequence methods (more detailed). Jaeckel carefully explains why a long-standing standard approaches to Normal simulation (Box-Muller) is problematic, and includes a helpful chapter on managing "bad" correlation matrices, which is vital for multivariate simulation. Variance reduction is discussed in detail. Applications focus more on the interest rate side and BGM models, and there is little on modern Monte Carlo methods for American options. So while this book does not cover everything, what it does do is done brilliantly.

S**O

Five Stars

Item received in excellent order.

E**N

Good as Reference

I would recommend this book as a reference to someone who already know the subject. However I bought it for a class to learn the subject and found that the explanations are often not enough for me to understand. I would also have appreciated more explanations to how the theory in the book is used (or why it's not used if this is the case) in the industry. I am still using the book for my class. But I usually need to look all the new concepts in the book up on Wikipedia there I get a much better explanation.

J**A

CD does not work

It is a book for mathematics lovers not financial oriented profesionals. I would not recomend this book for those looking to gain more practical knowledge on this subject.

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