This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative
This book presents the theory of rational decisions involving the selection of stopping times in observed discrete-time stochastic processes, both by single and
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to
This unique book presents real world success stories of collaboration between mathematicians and industrial partners, showcasing first-hand case studies, and le