Simulation Techniques in Financial Risk ManagementThis 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. The authors illustrate key concepts with examples and case studies you can reproduce using either S-PLUSŪ or Visual BasicŪ and provide exercises so you can apply new concepts and test your knowledge. Simulation Techniques in Financial Risk Management is invaluable both as a resource for risk managers in the financial and actuarial industries and as a coursebook for upper-level undergraduate and graduate courses in simulation and risk management. |
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Simulation Techniques in Financial Risk Management Ngai Hang Chan,Hoi Ying Wong Limited preview - 2015 |
Simulation Techniques in Financial Risk Management Ngai Hang Chan,Hoi Ying Wong Limited preview - 2015 |
Simulation Techniques in Financial Risk Management Ngai Hang Chan,Hoi Ying Wong Limited preview - 2015 |
Common terms and phrases
American put American put option antithetic variables approximation Asian options basket option Bayesian binomial Black-Scholes formula C.bar call price Cholesky decomposition compute conjugate prior Consider control variate estimator deﬁned deﬁnition delta denotes density function derivative discount factor dW(t eigenvalues European call option evaluate Example ﬁnance ﬁnancial ﬁnd ﬁrst ﬁxed follows gamma geometric Brownian motion Gibbs sampling given importance sampling integral interest rate Ito’s lemma least squares log S(t Markov chain matrix method Metropolis-Hastings algorithm Monte Carlo normal distribution normal random variables npaths obtained option price parameters payoff plot portfolio posterior distribution pricing formula put option quantiles random numbers random vector regression risk management risk-free risk-neutral sample paths satisﬁes scenarios sigma Speciﬁcally SPLUS code standard normal random STEP stochastic stock price Stratiﬁcation strike lookback strike price Suppose Theorem underlying asset price Var(X volatility Wiener process zero