Simulation techniques in financial risk management /

"More than 300 exercises at the end of each chapter provide the opportunity for readers to apply new concepts and test their knowledge. Answers for selected exercises (at the rear of the book) offer additional insights to help readers consolidate their understanding"--

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chan, Ngai Hang
Otros Autores: Wong, Hoi Ying, 1974-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken : Wiley, 2015.
Edición:Second edition.
Colección:Statistics in practice.
Temas:
Finance > Simulation methods.
Risk management > Simulation methods.
Finances > Méthodes de simulation.
Gestion du risque > Méthodes de simulation.
MATHEMATICS > Probability & Statistics > General.
Risk management > Simulation methods
Acceso en línea:Texto completo

MARC

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100 1 |a Chan, Ngai Hang. 
245 1 0 |a Simulation techniques in financial risk management /  |c Ngai Hang Chan and Hoi Ying Wong. 
250 |a Second edition. 
264 1 |a Hoboken :  |b Wiley,  |c 2015. 
300 |a 1 online resource 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
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490 1 |a Statistics in practice 
520 |a "More than 300 exercises at the end of each chapter provide the opportunity for readers to apply new concepts and test their knowledge. Answers for selected exercises (at the rear of the book) offer additional insights to help readers consolidate their understanding"--  |c Provided by publisher 
504 |a Includes bibliographical references and index. 
588 0 |a Print version record and CIP data provided by publisher. 
505 0 |a Wiley Series in Statistics in Practice; Title Page; Copyright; Table of Contents; Dedication; List of Figures; List of Tables; Preface; Preface to the Second Edition; Preface to the First Edition; Chapter 1: Preliminaries of VBA; 1.1 Introduction; 1.2 Basis Excel VBA; 1.3 VBA Programming Fundamentals; Chapter 2: Basic Properties of Futures and Options; 2.1 Introduction; 2.2 Options; 2.3 Exercises; Chapter 3: Introduction to Simulation; 3.1 Questions; 3.2 Simulation; 3.3 Examples; 3.4 Stochastic Simulations; 3.5 Exercises; Chapter 4: Brownian Motions and Itô's Rule; 4.1 Introduction. 
505 8 |a 4.2 Wiener and Itô's Processes4.3 Stock Price; 4.4 Itô's Formula; 4.5 Exercises; Chapter 5: Black-Scholes Model and Option Pricing; 5.1 Introduction; 5.2 One Period Binomial Model; 5.3 The Black-Scholes-Merton Equation; 5.4 Black-Scholes Formula; 5.5 Exercises; Chapter 6: Generating Random Variables; 6.1 Introduction; 6.2 Random Numbers; 6.3 Discrete Random Variables; 6.4 Acceptance-Rejection Method; 6.5 Continuous Random Variables; 6.6 Exercises; Chapter 7: Standard Simulations in Risk Management; 7.1 Introduction; 7.2 Scenario Analysis; 7.3 Standard Monte Carlo; 7.4 Exercises; 7.5 Appendix. 
505 8 |a Chapter 8: Variance Reduction Techniques8.1 Introduction; 8.2 Antithetic Variables; 8.3 Stratified Sampling; 8.4 Control Variates; 8.5 Importance Sampling; 8.6 Exercises; Chapter 9: Path Dependent Options; 9.1 Introduction; 9.2 Barrier Option; 9.3 Lookback Option; 9.4 Asian Option; 9.5 American Option; 9.6 Greek Letters; 9.7 Exercises; Chapter 10: Multiasset Options; 10.1 Introduction; 10.2 Simulating European Multiasset Options; 10.3 Case Study: On Estimating Basket Options; 10.4 Dimension Reduction; 10.5 Exercises; Chapter 11: Interest Rate Models; 11.1 Introduction. 
505 8 |a 11.2 Discount Factor and Bond Prices11.3 Stochastic Interest Rate Models and Their Simulations; 11.4 Hull-White Model; 11.5 Fixed Income Derivatives Pricing; 11.6 Exercises; Chapter 12: Markov Chain Monte Carlo Methods; 12.1 Introduction; 12.2 Bayesian Inference; 12.3 Simulating Posteriors; 12.4 Markov Chain Monte Carlo; 12.5 Metropolis-Hastings Algorithm; 12.6 Exercises; References; Index; Wiley Series in Statistics in Practice; End User License Agreement. 
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650 0 |a Finance  |x Simulation methods. 
650 0 |a Risk management  |x Simulation methods. 
650 6 |a Finances  |x Méthodes de simulation. 
650 6 |a Gestion du risque  |x Méthodes de simulation. 
650 7 |a MATHEMATICS  |x Probability & Statistics  |x General.  |2 bisacsh 
650 7 |a Risk management  |x Simulation methods  |2 fast 
700 1 |a Wong, Hoi Ying,  |d 1974- 
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830 0 |a Statistics in practice. 
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