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Monte Carlo

Edited By Bruno Dupire


A core reference of classic research and new writing on the methodologies and applications of Monte Carlo simulation.

Publish date: 1 Nov 1999

Availability: In stock


Book description

  • An edited collection of new writing and reference papers structured to provide a unique routemap through Monte Carlo
  • Selected and introduced by leading practitioner and theoretician, Bruno Dupire
  • Covers pricing, Monte Carlo methodologies, yield curve models, fixed income and generalities

Book details

Publish date
1 Nov 1999

Editor biography

Bruno Dupire

Table of contents




Bruno Dupire of Nikko Financial Products


Options: A Monte Carlo Approach

Phelim P. Boyle of University of Waterloo

Monte Carlo Methods for Security Pricing

Phelim P. Boyle of University of Waterloo, Mark Broadie and Paul Glasserman of Columbia University

Monte Carlo Toolkit

Bruno Dupire of Nikko Financial Products


Dimension Reduction and Other Ways of Speeding Monte Carlo Simulation

Bruno Dupire of Nikko Financial Products and Antoine Savine of General Re Financial Products

Average Intelligence

Edmond Levy of HSBC MIDLAND and Stuart Turnbull of Queens University, Canada

Beyond Average Intelligence

Michael Curran of RiskCare Ltd

Strata Gems

Michael Curran of RiskCare Ltd

Recovering Identity

Michael Curran of RiskCare Ltd

Greeks in Monte Carlo

Michael Curran of RiskCare Ltd

Quicker on the Curves

Les Clewlow of University of Warwick and Andrew Carverhill of the University of Science and Technology, Hong Kong

Exact Exotics

Leif Andersen and Rupert Brotherton-Ratcliffe of General Re Financial Products

Monte Carlo Simulation of Options on Joint Minima and Maxima

Leif Andersen of General Re Financial Products

Model Calibration in the Monte Carlo Framework

Raphaël Douady of Ecole Normale Supérieure, CMLA


Valuing American Options in a Path-Simulation Model

James A. Tilley of Morgan Stanley

Numerical Valuation of High-Dimensional Multivariate American Securities

Jérôme Barraquand of Salomon Brothers International and Didier Martineau of Long-Term Captial Management

Monte Carlo Methods for Pricing High-Dimensional American Options: An Overview

Mark Broadie and Paul Glasserman of Columbia University


Pricing Interst Rate Exotics by Monte Carlo Simulation

Les Clewlow of Lacima Consultants Ltd, Warwick Business School and Chris Strickland of the University of Technology, Sydney, Australia

Efficient and Flexible Bond Option Valuation in the Heath, Jarrow and Morton Framework

Andrew Carverhill of Hong Kong University of Science and Technology and Kin Pang of Morgan Stanley Dean Witter&Co

Term Structure Dynamics and Mortgage Valuation

Oren Cheyette of BARRA Inc


Calculating Value-at-Risk with Monte Carlo Simulation

Evan Picoult of Citibank

Beyond VAR and Stress Testing

Julian Shaw of NatWest Markets

Using Non-Normal Monte Carlo Simulation to Compute Value-at-Risk

Gerald D. Quinlan of TrueRisk Inc

Scrambled Nets for Value-at-Risk Calculations

Art Owen of Stanford University and Domingo Tavella of Align Risk Analysis


Quasi-Monte Carlo Methods in Numberical Finance

Corwin Joy of Positron Energy Consulting, Phelim P. Boyle and Ken Seng Tan of University of Waterloo

New Methodologies for Valuiing Derivatives

Spassimir H. Paskov of Barclays Capital

Valuation of Mortgage-Backed Securities Using Brownian Bridges to Reduce Effective Dimension

Russel E. Caflisch of UCLA, William Morokoff of Goldman Sachs and Art Owen of Stanford University

Smoothness and Dimension Reduction in Quasi-Monte Carlo Methods

Bradley Moskowitz of Bettis Laboratory and Russel E. Caflisch of UCLA

Beating Monte Carlo

Anargyros Papageorgiou and Joseph Traub of Columbia University

Monte Carlo Motoring

Rupert Brotherton-Ratcliffe of General RE Financial Products

Laudable Lattices

Craig Stetson of Arizona Public Service, Steve Marshall and David Loebell of Chase Manhattan

Inelegant Efficiency

John Barrett and Gerald Moore of Imperial College and Paul Wilmott of Imperial College and University of Oxford

Glossary of Monte Carlo terms


“Dupire puts Monte Carlo in a logical framework... excellent introductions to each section summarising the papers clearly.“

Rich Tannenbaum, Savvysoft

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