Simulation in financial engineering

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.