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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