Monte Carlo : methodologies and applications for pricing and risk management

Abstract

Monte Carlo Methodologies and Applications for Pricing and Risk Management CONTENTS Authors Introduction Bruno Dupire of Nikko Financial Products GENERALITIES 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 PRICING 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 Rapha?l Douady of Ecole Normale Sup?rieure, CMLA AMERICAN-STYLE Valuing American Options in a Path-Simulation Model James A. Tilley of Morgan Stanley Numerical Valuation of High-Dimensional Multivariate American Securities J?r?me 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 FIXED INCOME 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 VAR 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 DETERMINISTIC METHODS 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

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