TY  - BOOK
AU  - Chan,Ngai Hang
AU  - Wong,Hoi Ying
ED  - John Wiley & Sons.
TI  - Simulation techniques in financial risk management
T2  - Statistics in practice
SN  - 0471469874
AV  - HG173 .C47 2006
U1  - 338.5 22
PY  - 2006///]
CY  - Hoboken, N.J.
PB  - Wiley-Interscience
KW  - Finance
KW  - Simulation methods
KW  - Risk management
KW  - BUSINESS & ECONOMICS
KW  - Economics
KW  - Microeconomics
KW  - bisacsh
KW  - Electronic books
N1  - 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
N2  - 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
UR  - https://doi.org/10.1002/0471789496
ER  -