A Trader's Guide To Quantitative Methods - Monte Carlo Methods.

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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.

Registered owners of other TG2 products may be eligible for additional discounts, but must first obtain "discount code", please contact TG2Books@arbitrage-trading.com

Visit TG2QM Monte Carlo for a detailed Table of Contents, and excerpts from the book, or read/write a review at TG2 Reviews, such as:

"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 colour pages, soft cover, +software)

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