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TG2QM MC Extracts
TG2QM MC Index
TG2QM MC Software

A Trader's Guide To Quantitative Methods (Donít Panic ):

Monte Carlo Methods

Available at the ARTShop

(867+ colour pages, much software)


   click to enlarge

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 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.


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 HERE)

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)

  ...see ToC, Index, and Extracts.

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 world application.


Special copies available see HERE, or contact  TG2Books@arbitrage-trading.com


Don't forget, some TG2Books 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 other circumstance. 


If you need advanced copies or have other special requirements, write to TG2Books@Arbitrage-Trading.com OR click HERE


Available at the ARTShop

(867+ colour pages, much software)



See the entire TG2 Series

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** Some discounts may not be taken in conjunction with other discounts



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Last modified: July 25, 2011