Random number generation and quasi-Monte Carlo methods
Random number generation and quasi-Monte Carlo methods
Estimating security price derivatives using simulation
Management Science
Efficiency improvements for pricing American options with a stochastic mesh
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
On the Use of Quasi-Monte Carlo Methods in Computational Finance
ICCS '01 Proceedings of the International Conference on Computational Sciences-Part I
Regression methods for pricing complex American-style options
IEEE Transactions on Neural Networks
Proceedings of the 35th conference on Winter simulation: driving innovation
New simulation methodology for finance: duality theory and simulation in financial engineering
Proceedings of the 35th conference on Winter simulation: driving innovation
Monte Carlo simulation in financial engineering
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
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This paper presents an overview of the use of simulation algorithms in the field of financial engineering, assuming on the part of the reader no familiarity with finance and a modest familiarity with simulation methodology, but not its specialist research literature. The focus is on the challenges specific to financial simulations and the approaches that researchers have developed to handle them, although the paper does not constitute a comprehensive survey of the research literature. It offers to simulation researchers, professionals, and students an introduction to an application of increasing significance both within the simulation research community and among financial engineering practitioners.