Monte Carlo simulation in financial engineering

Nan Chen; L. Jeff Hong

doi:10.1109/WSC.2007.4419688

Monte Carlo simulation in financial engineering

Nan Chen
, L. Jeff Hong

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

13 Scopus citations

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.

Original language	English (US)
Title of host publication	Proceedings of the 2007 Winter Simulation Conference, WSC
Pages	919-931
Number of pages	13
DOIs	https://doi.org/10.1109/WSC.2007.4419688
State	Published - 2007
Externally published	Yes
Event	2007 Winter Simulation Conference, WSC - Washington, DC, United States Duration: Dec 9 2007 → Dec 12 2007

Publication series

Name	Proceedings - Winter Simulation Conference
ISSN (Print)	0891-7736

Conference

Conference	2007 Winter Simulation Conference, WSC
Country/Territory	United States
City	Washington, DC
Period	12/9/07 → 12/12/07

Publisher link

10.1109/WSC.2007.4419688

Find It

Find It at U of M Libraries

Cite this

@inproceedings{099856e9c95d431d9fe69eea19b597c5,

title = "Monte Carlo simulation in financial engineering",

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.",

author = "Nan Chen and Hong, \{L. Jeff\}",

year = "2007",

doi = "10.1109/WSC.2007.4419688",

language = "English (US)",

isbn = "1424413060",

series = "Proceedings - Winter Simulation Conference",

pages = "919--931",

booktitle = "Proceedings of the 2007 Winter Simulation Conference, WSC",

note = "2007 Winter Simulation Conference, WSC ; Conference date: 09-12-2007 Through 12-12-2007",

}

TY - GEN

T1 - Monte Carlo simulation in financial engineering

AU - Chen, Nan

AU - Hong, L. Jeff

PY - 2007

Y1 - 2007

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/49749133181

UR - https://www.scopus.com/pages/publications/49749133181#tab=citedBy

U2 - 10.1109/WSC.2007.4419688

DO - 10.1109/WSC.2007.4419688

M3 - Conference contribution

AN - SCOPUS:49749133181

SN - 1424413060

SN - 9781424413065

T3 - Proceedings - Winter Simulation Conference

SP - 919

EP - 931

BT - Proceedings of the 2007 Winter Simulation Conference, WSC

T2 - 2007 Winter Simulation Conference, WSC

Y2 - 9 December 2007 through 12 December 2007

ER -

Monte Carlo simulation in financial engineering

Abstract

Publication series

Conference

Publisher link

Find It

Other files and links

Fingerprint

Cite this