Wellcome

Simulation techniques in financial risk management / Ngai Hang Chan, Hoi Ying Wong.

By: Chan, Ngai HangContributor(s): Wong, Hoi Ying, 1974- | John Wiley & SonsMaterial type: TextTextSeries: Statistics in practicePublisher: Hoboken, N.J. : Wiley-Interscience, [2006]Copyright date: ©2006Description: 1 online resource (xvii, 220 pages) : illustrationsContent type: text Media type: computer Carrier type: online resourceISBN: 0471469874; 9780471469872; 0471789496; 9780471789499; 0471789488; 9780471789482; 9781118735930; 1118735935Subject(s): Finance -- Simulation methods | Risk management -- Simulation methods | Finance | BUSINESS & ECONOMICS -- Economics -- MicroeconomicsGenre/Form: Electronic books.Additional physical formats: Print version:: Simulation techniques in financial risk management.DDC classification: 338.5 LOC classification: HG173 | .C47 2006Online resources: Wiley Online Library
Contents:
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.
Summary: 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.
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Item type Current library Call number Status Date due Barcode
Ebooks Ebooks Mysore University Main Library
Not for loan EBJW57

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.

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