DocumentCode
2616384
Title
Monte Carlo simulation in financial engineering
Author
Chen, Nan ; Hong, L. Jeff
Author_Institution
Chinese Univ. of Hong Kong, Hong Kong
fYear
2007
fDate
9-12 Dec. 2007
Firstpage
919
Lastpage
931
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.
Keywords
Monte Carlo methods; finance; risk analysis; Monte Carlo simulation; financial engineering; path generation; pricing; risk analysis; Convergence; Modeling; Portfolios; Pricing; Reactive power; Research and development management; Risk management; Security; Stochastic processes; Systems engineering and theory;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 2007 Winter
Conference_Location
Washington, DC
Print_ISBN
978-1-4244-1306-5
Electronic_ISBN
978-1-4244-1306-5
Type
conf
DOI
10.1109/WSC.2007.4419688
Filename
4419688
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