Monte Carlo Methods in Finance

Product Details

"There is no book on the market to compare with Dr Jäckel's. All the techniques, the tricks, the pitfalls of this important methodology are covered in detail and with great insight. This is no book on abstract theory, Dr Jäckel is a practitioner who has implemented every single one of these ideas. He has done all the hard work, so you don't have to." Paul Wilmott

"Few expert practitioners also have the academic expertise to match Peter Jäckel's in this area, let alone take the trouble to write a most accessible, comprehensive and yet self contained text. This book is a delight to read and contains a wealth of information that is essential for anyone involved with implementing Monte Carlo methods in finance." Professor Carol Alexander, ISMA Centre, University of Reading, UK

" This book is a very welcome addition to the growing literature on applied quantitative methods in finance. Dr Jäckel has done the field a service in combining both a thorough review of 'standard' material with techniques that were learned on the job as a quant at top financial institutions. Michael Curran, Quantin' Leap

Based on the author's own experience, Monte Carlo Methods in Finance adopts a practical flavour throughout, the emphasis being on financial modelling and derivatives pricing. Numerous real world examples help the reader foster an intuitive grasp of the mathematical and numerical techniques needed to solve particular financial problems. At the same time, the book tries to give a detailed explanation of the theoretical foundations of the various methods and algorithms presented.

Monte Carlo methods have been used in the financial community for many years for addressing complex financial calculations. Recent advances by both practitioners and academic researchers in the area of fast convergence methods, together with the improvements achieved by the manufacturers of computer hardware, make Monte Carlo simulations more and more frequently the method of choice. In this long needed book on modern Monte Carlo methods in finance, Peter Jäckel provides an introduction to many of the leading edge techniques available.

Customer Reviews ::

Barely satisfactory - A Reader - UK
I read and then reread Peter Jackel's book on Monte Carlo methods in finance, hoping to get more out of it with the extra readings. Alas, this was not the case - you can only squeeze so much juice out of a dry orange. This book looks and feels like a brain dump of a brainiac who hasn't got the ability or time to teach the foundations of the subject to his readers well. After all, if you're going to publish a book, surely you want to take a little pride in your work and what others think of it and get out of it. Very little peer review (if none at all), a rushed effort with I'm-too-good-to-really-care-about-my-readers kind of attitude were the main impressions I got out of reading this book. There are no real short cuts to learning the fairly sophisticated mathematical techniques that comprise the Monte Carlo method and the option pricing and hedging that they are being applied to. Math and engineering books on the technique, as well as papers on MC methods may be your best bet here if your aim is to really learn, understand and apply the subject with any level of confidence.

This lack of quality must also be a reflection on the publishers Wiley Finance, and I have all but given up on them running quality control on their finance books that they publish. They definitely need reminding that quality should not be sacrificed to quantity if they are to remain a viable going concern. I can only suggest that they employ qualified proof-readers in their quality control section on finance. It is this cavalier attitude to finance that got us into the mess we are now in. What does it matter if reputation doesn't matter?

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