Simulation techniques in financial risk management /
xviii, 205 p. : illustrations ; 24 cm. - (Statistics in practice ) Content notes : 1. Preliminaries of VBA--
2. Basic properties of futures and options--
3. Introduction to Simulation--
4. Brownian motions and Itos Rule--
5. Black-Scholes model and option pricing--
6. Generating random variables--
7. Standard simulations in risk management--
8. Variance reduction techniques--
9. Path dependent options--
10. Multiasset options--
11. Interest rate models--
12. Markov chain Monte Carlo methods--
References--
Index. Risk management - Simulation methods.
