Abstract
This advanced tutorial aims at an exposition of problems in finance that are worthy of study by the Monte Carlo research community. It describes problems in valuing and hedging securities, risk management, portfolio optimization, and model calibration. It surveys some areas of active research in efficient procedures for simulation in finance and addresses the impact of the business context on the opportunities for efficiency. There is an emphasis on the many challenging problems in which it is necessary to perform several similar simulations. © Springer-Verlag Berlin Heidelberg 2009.
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CITATION STYLE
Staum, J. (2009). Monte Carlo computation in finance. In Monte Carlo and Quasi-Monte Carlo Methods 2008 (pp. 19–42). Springer Verlag. https://doi.org/10.1007/978-3-642-04107-5_2
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