Simulation techniques in financial risk management /
Chan, Ngai Hang.
Simulation techniques in financial risk management / Ngai Hang Chan, Hoi Ying Wong. - 1 online resource (xvii, 220 pages) : illustrations. - Statistics in practice . - Statistics in practice. .
Includes bibliographical references (pages 211-215) and index.
Brownian motions and Itō's rule -- Black-Scholes model and option pricing -- Generating random variables -- Standard simulations in risk management -- Variance reduction techniques -- Path-dependent options -- Multi-asset options -- Interest rate models -- Markov chain Monte Carlo methods.
This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs sampling, the use of heavy-tailed distributions in VaR calculations, construction of volatility smile, and state space modeling.
0471469874 9780471469872 0471789496 9780471789499 0471789488 9780471789482 9781118735930 1118735935
10.1002/0471789496 doi
OverDrive, Inc. http://www.overdrive.com 2CE699FC-277B-4AD3-AB5C-2286D37C71ED OverDrive, Inc. http://www.overdrive.com
Uk
Finance--Simulation methods.
Risk management--Simulation methods.
Finance.
BUSINESS & ECONOMICS--Economics--Microeconomics.
Electronic books.
HG173 / .C47 2006
338.5
Simulation techniques in financial risk management / Ngai Hang Chan, Hoi Ying Wong. - 1 online resource (xvii, 220 pages) : illustrations. - Statistics in practice . - Statistics in practice. .
Includes bibliographical references (pages 211-215) and index.
Brownian motions and Itō's rule -- Black-Scholes model and option pricing -- Generating random variables -- Standard simulations in risk management -- Variance reduction techniques -- Path-dependent options -- Multi-asset options -- Interest rate models -- Markov chain Monte Carlo methods.
This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs sampling, the use of heavy-tailed distributions in VaR calculations, construction of volatility smile, and state space modeling.
0471469874 9780471469872 0471789496 9780471789499 0471789488 9780471789482 9781118735930 1118735935
10.1002/0471789496 doi
OverDrive, Inc. http://www.overdrive.com 2CE699FC-277B-4AD3-AB5C-2286D37C71ED OverDrive, Inc. http://www.overdrive.com
Uk
Finance--Simulation methods.
Risk management--Simulation methods.
Finance.
BUSINESS & ECONOMICS--Economics--Microeconomics.
Electronic books.
HG173 / .C47 2006
338.5