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Customer reviews

5.0 out of 5 stars
5

on 27 April 2009
A must have reference if you'd like work in Monte Carlo simulation for finance. Covers most issues you would need, good explaination and useful examples..
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on 29 June 2013
For me the decision was between this book and Monte Carlo Methods in Finance and I'm glad I went with this one. The book is big, informative, well written and essentially covers the topic of MC in finance to such a depth that I would argue that it is *cheap* given the price here on Amazon. The only thing it is lacking is maybe code to show you how things are done - there's pseudocode in places but I would have preferred MATLAB. Still, I don't consider this a flaw since programming MC is platform-specific and a huge challenge in itself (esp. if you try to use CUDA, hehe).

So to sum things up, the book is awesome, get it now, if you don't, you'll regret it :)
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on 30 June 2012
This is a bible on monte carlo, plus it gives loads of examples in financial risk analysis. You must read this book if you are an applied or financial mathematician.
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on 27 January 2005
A truly outstanding book, it covers all areas of applications of Monte-Carlo to problems in math finance, and covers them really well. This is one of the few math finance books that are really worth to be in one's personal library. You will be going back to it often, and will always find relevant, concise information with clear explanations and relevant examples. Running a quantitative research group in one of the major banks, I typically do not waste time on math finance books, as most are either trivial or irrelevant. This one is a rare exception.
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on 27 October 2010
This book was recommended to be by a colleague and I have no hesitation in sharing that recommendation. The mathematical basis of the theories contained are clear and precise. The book acts a a very useful servey of the various Monte Carlo methods that are currnetly available.
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