Despite its title, this book is not about simulation techniques in financial risk management. It has a five-page description of value-at-risk. That's about all it has to say about risk management. The rest of the book is an intermediate-level discussion of Monte Carlo simulation with applications in financial engineering. Results are illustrated with S-Plus or Visual Basic code.

There are two threads running through the book. One develops the mathematics of Monte Carlo simulation, with topics such as standard error, random variate generation and variance reduction. The other is a discussion of options pricing theory, covering stochastic calculus, the Black-Scholes formula, exotic option pricing, interest rate option pricing and Bayesian inference.