[R-SIG-Finance] Needing some good stuff on valuation

Otziger Simon (otis) otis at zhaw.ch
Tue Jun 1 10:55:46 CEST 2010

Maybe there are better books but  "Monte Carlo Methods in Financial Engineering" by Glasserman covers those topics.


On Jun 1, 2010, at 9:55 AM, Ron Michael wrote:

> Hi all, I am looking for some good textbook for Financial instrument valuation using Monte carlo simulation approach, e.g. Simulation approach for derivative pricing particularly Options valuation with Asian type of pay-off, Calculation of greeks under same simulation framework for Asian, American ir Bermudian type option etc.
> Can friends here suggest me some really good book over that? Online materials are also be ok.
> Your help will be highly appreciated.
> Thanks,
> 	[[alternative HTML version deleted]]
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

More information about the R-SIG-Finance mailing list