Abstract
This paper presents an overview of the use of simulation algorithms in the field of financial engineering, assuming on the part of the reader no familiarity with finance and a modest familiarity with simulation methodology, but not its specialist research literature. The focus is on the challenges specific to financial simulations and the approaches that researchers have developed to handle them, although the paper does not constitute a comprehensive survey of the research literature. It offers to simulation researchers, professionals, and students an introduction to an application of increasing significance both within the simulation research community and among financial engineering practitioners.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1481-1492 |
| Number of pages | 12 |
| Journal | Winter Simulation Conference Proceedings |
| Volume | 2 |
| State | Published - 2002 |
| Event | Proceedings of the 2002 Winter Simulation Conference - San Diego, CA, United States Duration: Dec 8 2002 → Dec 11 2002 |
ASJC Scopus subject areas
- Software
- Safety, Risk, Reliability and Quality
- Applied Mathematics
- Chemical Health and Safety
- Modeling and Simulation