Monte Carlo simulation in financial engineering

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.

• Type: Conference
• Year: 2007
• Where: WSC
• Authors: Nan Chen, L. Jeff Hong
• Keywords: Modeling And Simulation, Monte Carlo Simulation, Path Generation, Pricing American-style Derivatives, WSC 2007