Simulation techniques in financial risk management / Ngai Hang Chan and Hoi Ying Wong.
Material type:
TextSeries: Statistics in practicePublication details: New Jersey : John Wiley, c2015.Edition: 2nd edDescription: xviii, 205 p. : illustrations ; 24 cmISBN: - 9781118735817 (hardback)
- 000SB:338.5 23 C454
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 000SB:338.5 C454 (Browse shelf(Opens below)) | Available | 136474 |
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| 000SB:338.1=3 L274 Agrarstatistik | 000SB:338.433621 B162 Bayesian methods in health economics / | 000SB:338.5 Av951 Uncertainty in risk assessment : | 000SB:338.5 C454 Simulation techniques in financial risk management / | 000SB:338.52 W852 Demand analysis | 000SB:338.52=4 D928 De la theorie a la pratique des indices statistiques | 000SB:338.54=4 T587 Verificatition statistique des theories des cycle economiques |
Includes bibliographical references and index.
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.
Simulation Techniques in Financial Risk Management, Second Edition takes a unique approach to the field of simulations by focusing on techniques necessary in the fields of finance and risk management. Thoroughly updated, the new edition expands on several key topics in these areas and presents many of the recent innovations in simulations and risk management, such as advanced option pricing models beyond the Black Scholes paradigm, interest rate models, MCMC methods including stochastic volatility models simulations, model assets and model–free properties, jump diffusion, and state space modeling.
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