A Trader's Guide To Quantitative Methods
pages, much software)
The TG2QM: Monte Carlo Methods monograph
is the most practical MC book for trading floor and risk management
application. It includes the down to earth
explanation of how and why it works in the real world, as well as code and
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
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.
The TG2QM "set" includes various monographs on
specialised topics, see related titles
HERE (all TG2QM books are indexed as [3.xx] ).
See Reviews HERE
This book closely parallels
the ARTSchool Seminar:
A Trader's Guide to
Monte Carlo Methods, and delegates receive complementary copies.
The TG2QM: Monte Carlo Methods
monograph provides all the basic technical definitions and
tools required to be able to create and implement MC methods for
pricing/hedging securities and derivatives, as well as the tools and
infrastructure to handle single period or entire holding period VaR, or even
better PaR analysis of single positions or entire portfolios. (ToC is available
Basics: covers all the basics for MC development.
Pricing and Hedging: covers MC implementation of the key methodologies via
explicit implementation of vanilla, Digital Asian, Barrier, Compound,
American options, as well as term-structure problems, stochastic
volatility problems, structured products & Convertible Bonds,
including all the code.
Position keeping: covers MC implementation of entire position keeping
strategies with rebalancing for the assessment of holding period
risk-adjusted P&L (PaR), including all the code.
Implementation: provided all of the supporting
methodologies and tools to permit efficient implementation, and
comparisons/decision tools for when to use MC and when to use something
else (Trees, Finite Difference, etc)
This is a thoroughly practical book and aims to ensure that almost any
trader, risk manager, structurer, treasurer, investor, and sales staff will be able to
create, and more importantly use sensible MC methods and calculators in real
Special copies available see
HERE, or contact
Don't forget, some
are included with ARTWare
software, and ARTSchool Seminars,
so be sure to contact us for specials, bundles, etc.
Please Note: This book is
closely connected with the TG2RM1st book,
which is required to understand the (correct)
business management issues and context. There are discounts for registered owners,
and especially for "bundled" purchases. The TG2QM books are one of the
few books in the TG2 Series that do not require the TG2RM1st as a
prerequisite, but is very strongly suggested.
Corporate Editions: ART also produces specialized
one-off books and monographs for customized client applications whether it
be for internal training purposes, to assist with marketing efforts, or with any
If you need advanced copies or have
other special requirements, write to
pages, much software)
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Some discounts may not be taken in conjunction with other discounts