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

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

Gives greater rigor to numerical treatments of stochastic models. Contains Monte Carlo and quasi-Monte Carlo techniques, simulation of major stochastic procedur

A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical

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