Simulation in financial engineering

Jeremy Staum*

*Corresponding author for this work

Research output: Contribution to journalConference articlepeer-review

8 Scopus citations

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 languageEnglish (US)
Pages (from-to)1481-1492
Number of pages12
JournalWinter Simulation Conference Proceedings
Volume2
StatePublished - Dec 1 2002
EventProceedings of the 2002 Winter Simulation Conference - San Diego, CA, United States
Duration: Dec 8 2002Dec 11 2002

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Safety, Risk, Reliability and Quality
  • Applied Mathematics
  • Chemical Health and Safety

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