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The TG2QM: Monte Carlo Methods monograph is the most practical MC book for trading floor and risk
management application. It includes not only the down to earth explanation of how and why it works, but
also the code and spreadsheets.
The book and software include clear explanation and code for pricing Vanilla, Compound, Asian, American
options, with/for multi-factor, term-structure, stochastic volatility, Convertible bonds, etc. Risk
measurement and hedging calculations and methods are provided. In each case, much "reality impact" is
included to show how/why real world effects require additional considerations/usage.
Importantly, the method is extended to show entire PaR "optimal P&L based" holding period simulation of
hedging or investment strategies (with real world effects such as rebalancing, transactions cost,
liquidity, etc), and includes the simulators/software.
Almost anybody working on a trading floor will be able to create/use basic MC calculators by end of the
book, and do so sensibly in real world/real P&L settings.
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"The material is really unique. One really feels that the authors have lived the material and have been
down in the 'trenches' - excellent and one-of-a-kind!
... Head of Prop Trading for a global trading house"
867 c o l o u r pages, soft cover,
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