Monte-carlo simulation (Stochastic calculus)

[kdmfe]

Dear Experts,

I have reasonable understanding of Stochastic calculus by having gone through Book I and II by Steven Shreve.

I now plan to get an understanding of Monte-carlo simulation methodologies/techniques.

In this regard, Can I request the members in the forum to list a few books which are good to begin with.

I prefer a combination of books which are mathematically rigorous (my primary focus) and which will briefly state why a particular topic is being discussed.

Kindly guide me.

Thank you in advance for your help.

 

[Daniel Duffy]

I have written several books in C++ and C# for this stuff. See also.

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onlinelibrary.wiley.com

MC is also done in the 2 Quantnet C++ courses.

For MC foundations, Glasserman 2004.