Monte Carlo Methods in Financial Engineering / Edition 1

Paperback (Print)
Buy New
Buy New from
Used and New from Other Sellers
Used and New from Other Sellers
from $54.41
Usually ships in 1-2 business days
(Save 27%)
Other sellers (Paperback)
  • All (11) from $54.41   
  • New (8) from $54.41   
  • Used (3) from $69.00   


Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry.

Read More Show Less

Editorial Reviews

From the Publisher
"Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers … You will want to have prior knowledge of both the Monte Carlo method and financial engineering. If you do, you will find the book to be a goldmine … So often, financial engineering texts are very theoretical. This book is not. The Monte Carlo method serves as a unifying theme that motivates practical discussions of how to implement real models on real trading floors. You will learn plenty of financial engineering amidst these pages. The writing is a pleasure to read. Topics are timely and relevant. Glasserman's is a must-have book for financial engineers." -Glyn Holton, Contingency AnalysisMathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."

From the reviews:

"This recent book is a valuable addition to the references devoted to Monte Carlo methods. … the author succeeded in choosing the most actual topics in financial engineering and in presenting them in an appropriate way by keeping a suitable balance between mathematical rigour and an audience friendly language. … To help the reader, three appendices provide basic results on convergence concepts … . A large bibliography of 358 entries accompanies this text. In short, the reader will find this book extremely lucid and useful." (Radu Theodorescu, Zentralblatt MATH, Vol. 1038 (13), 2004)

"To keep it short, let me summarize the recension in one phrase: Paul Glausserman’s book is a ‘strong buy’ for everybody in the financial community. … one gets 596 pages full of valuable information on all aspects of Monte Carlo simulation. … Altogether, I can encourage everyone interested in Monte Carlo methods in finance to read the book. It is very well written … comes with a carefully selected bibliography (358 references) and a helpful index, thus making it really worth the buy." (Ralf Werner, OR – Spectrum Operations Research Spectrum, Issue 27, 2005)

"Glasserman’s new book is a remarkable presentation of the current state of the art of Monte Carlo Methods in Financial Engineering. … lot of material which is sometimes hard to access has been composed into one volume. … a high quality monograph which is both suitable as a reference for practitioners and researchers as well as a textbook … . The list of references is by itself a valuable aspect. The refreshing writing style of the author is tailor-made for the thirsty reader … ." (Uwe Wystup,, November, 2003)

"Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers. It is an advanced book. … The presentation is masterful. … You will learn plenty of financial engineering amidst the pages. The writing is a pleasure to read. Topics are timely and relevant. Glasserman’s is a must-have book for financial engineers." (, Dezember, 2003)

"This book is divided into three parts. … the aim of the author is … to give a precise description of the different techniques in order to facilitate their implementation. In my opinion, this book is a very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context." (Benjamin Jourdain, Mathematical Reviews, 2004g)

"The publication of this book is an important event in computational finance. For many years, Monte Carlo methods have been successfully applied to solve diverse problems in financial mathematics. By publishing this book the author deserves much credit for a very good attempt to lift such applications to a new level. … the book may well become a major reference in the field of applications of Monte Carlo methods in financial engineering. This is because the book is well structured and well written … ." (A Zhigljavsky, Journal of the Operational Research Society, Vol. 57, 2006)

Read More Show Less

Product Details

  • ISBN-13: 9781441918222
  • Publisher: Springer New York
  • Publication date: 11/19/2010
  • Series: Stochastic Modelling and Applied Probability Series, #53
  • Edition description: Softcover reprint of hardcover 1st ed. 2003
  • Edition number: 1
  • Pages: 596
  • Sales rank: 1,310,265
  • Product dimensions: 6.10 (w) x 9.20 (h) x 1.30 (d)

Table of Contents

Foundations.- Generating Random Numbers and Random Variables.- Generating Sample Paths.- Variance Reduction Techniques.- Quasi-Monte Carlo Methods.- Discretization Methods.- Estimating Sensitivities.- Pricing American Options.- Applications in Risk Management.- Appendices

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)