000			01911cam a2200277 i 4500
001			136474
003			ISI Library, Kolkata
005			20250307020015.0
008			150123s2015 nju b 001 0 eng
020			_a9781118735817 (hardback)
040			_aISI Library _beng
082	0	4	_a000SB:338.5 _223 _bC454
100	1		_aChan, Ngai Hang.
245	1	0	_aSimulation techniques in financial risk management / _cNgai Hang Chan and Hoi Ying Wong.
250			_a2nd ed
260			_aNew Jersey : _bJohn Wiley, _cc2015.
300			_axviii, 205 p. : _billustrations ; _c24 cm.
490	0		_aStatistics in practice
504			_aIncludes bibliographical references and index.
505	0		_a1. 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.
520			_aSimulation 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.
650		0	_aFinance _xSimulation methods.
650		0	_aRisk management _xSimulation methods.
700	1		_aWong, Hoi Ying, _eauthor
942			_2ddc _cBK _01
999			_c420448 _d420448