In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practit

Developed from the author’s course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulati

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to

Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerica

This accessible new edition explores the major topics in Monte Carlo simulation that have arisen over the past 30 years and presents a sound foundation for prob