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1、Proceedingsofthe2002WinterSimulationConferenceE.Yücesan,C.-H.Chen,J.L.Snowdon,andJ.M.Charnes,eds.SIMULATIONINFINANCIALENGINEERINGJeremyStaumSchoolofOperationsResearchandIndustrialEngineeringCornellUniversityIthaca,NY14853,U.S.A.ABSTRACTtainmanyfundamentalsourcesofriskorwithderivativesecuritiesthatde
2、pendinanontrivialwayonpricesatmanyThispaperpresentsanoverviewoftheuseofsimulationtimes.Thisissueisbecomingincreasinglyimportantasalgorithmsinthefieldoffinancialengineering,assumingsecuritiesmarketsandfinancialriskmanagementbecomeonthepartofthereadernofamiliaritywithfinanceandamoresophisticated.modestfam
3、iliaritywithsimulationmethodology,butnotitsAthirdattractionofsimulationistheconfidencein-specialistresearchliterature.ThefocusisonthechallengestervalthatitprovidesfortheMonteCarloestimate.Thisspecifictofinancialsimulationsandtheapproachesthatinformationmakespossibleanassessmentofthequalityresearchersha
4、vedevelopedtohandlethem,althoughtheoftheestimate,andofhowmuchmorecomputationalef-paperdoesnotconstituteacomprehensivesurveyofthefortmightbeneededinordertoproduceanestimateofresearchliterature.Itofferstosimulationresearchers,pro-acceptablequality.fessionals,andstudentsanintroductiontoanapplicationofF
5、orthesereasons,simulationisavaluabletoolforincreasingsignificancebothwithinthesimulationresearchpricingoptions,asBoyle(1977)pointedout.Twentyyearscommunityandamongfinancialengineeringpractitioners.later,Boyle,BroadieandGlasserman(1997)surveyedthisfieldanddescribedresearchadvancesthathadimproved1INTRODU
6、CTIONefficiencyandbroadenedthedomainofproblemstowhichsimulationcouldbeprofitablyapplied.ThepresentpaperManyproblemsinfinancialengineeringrequirenumericaltouchesonsuchadvancesinordertodescribethetechniquesevaluationofanintegral.Severalvirtuesmakesimulationpresentlyavailabletofinancialengineersusingsimula
7、tionpopularamongpractitionersasamethodologyfortheseandthechallengesstillconfrontingthem,withoutofferingcomputations.acomprehensivesurveyofthefield.First,itiseasytoapplytomanyproblems.FormostThepapercon