Title :
Monte Carlo simulation in financial engineering
Author :
Chen, Nan ; Hong, L. Jeff
Author_Institution :
Chinese Univ. of Hong Kong, Hong Kong
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;
Conference_Titel :
Simulation Conference, 2007 Winter
Conference_Location :
Washington, DC
Print_ISBN :
978-1-4244-1306-5
Electronic_ISBN :
978-1-4244-1306-5
DOI :
10.1109/WSC.2007.4419688
