During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

The Monte Carlo approach has proved to be a valuable and flexible computational tool in
modern finance. This paper discusses some of the recent applications of the Monte Carlo …

Ksi ka czy og ln wiedz o rynkach papier w warto ciowych z nowoczesnym wyk adem
matematyki finansowej, kt ry obejmuje modele i metody dotycz ce wyceny instrument w …

We propose a new 'hedged'Monte-Carlo (HMC) method to price financial derivatives, which
allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging …

This book is the definitive and most comprehensive guide to modeling derivatives in C++
today. Providing readers with not only the theory and math behind the models, as well as the …

This paper studies the pricing of variance swap derivatives with stochastic volatility by the
control variate method. A closed form solution is derived for the approximate model with …

This paper surveys the main concepts and techniques of recent developments in the
modeling of the term structure of interest rates that are used in the risk management and …

Its intuitiveness and the simplicity of its calculations make the seminal Black-Scholes-Merton
option pricing model the most commonly known and used among all asset pricing models …

In option price simulations, simulation-time is of great importance. Control variates is a
variance reduction technique that can reduce simulation-time. Three approaches to the use …

A paper describes flexible and efficient Monte Carlo techniques for valuing interest rate
derivatives in a world with stochastic interest rates and interest rate volatility. The Fong and …