Simulation Techniques in Financial Risk Management,9780471469872

Simulation Techniques in Financial Risk Management

by ;
Edition: 1st
ISBN13: 9780471469872
ISBN10: 0471469874
Format: Hardcover
Pub. Date: 2006-04-12
Publisher(s): Wiley-Interscience
List Price: $149.00

Buy New

Usually Ships in 3-4 Business Days
$148.85
Add to Cart

Rent Textbook

Select for Price
Add to Cart
There was a problem. Please try again later.

Used Textbook

We're Sorry
Sold Out

eTextbook

We're Sorry
Not Available

Buy from our Marketplace starting at $46.11

How Marketplace Works:

  • This item is offered by an independent seller and not shipped from our warehouse
  • Item details like edition and cover design may differ from our description; see seller's comments before ordering.
  • Sellers much confirm and ship within two business days; otherwise, the order will be cancelled and refunded.
  • Marketplace purchases cannot be returned to eCampus.com. Contact the seller directly for inquiries; if no response within two days, contact customer service.
  • Additional shipping costs apply to Marketplace purchases. Review shipping costs at checkout.

Summary

This 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-PLUS? or Visual Basic? 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.

Author Biography

NGAI HANG CHAN, PhD, is Chairman and Professor of Statistics of the Department of Statistics at The Chinese University of Hong Kong where he was formerly Director of the Risk Management Science Program. He is an elected Fellow of the Institute of Mathematical Statistics, the author of Time Series: Applications to Finance (Wiley), and is also the associate editor of six journals. His research interests include statistical finance, risk management, time series, econometrics, and stochastic modeling.

HOI-YING WONG, PhD, is Assistant Professor in the Risk Management Science Program of the Department of Statistics at The Chinese University of Hong Kong. His research interests include derivatives pricing, interest rate modeling, financial risk management, and statistical finance.

Table of Contents

1. Introduction.
2. Brownian Motions and Itô's Rule.
3. Black Scholes Model and Option Pricing.
4. Generating Random Variables.
5. Standard Simulations in Risk Management.
6. Variance Reduction Techniques.
7. Path Dependent Options.
8. Multi-asset Options.
9. Interest Rate Models.
10. Markov Chain Monte Carlo Methods.
References.
Index.

An electronic version of this book is available through VitalSource.

This book is viewable on PC, Mac, iPhone, iPad, iPod Touch, and most smartphones.

By purchasing, you will be able to view this book online, as well as download it, for the chosen number of days.

Digital License

You are licensing a digital product for a set duration. Durations are set forth in the product description, with "Lifetime" typically meaning five (5) years of online access and permanent download to a supported device. All licenses are non-transferable.

More details can be found here.

A downloadable version of this book is available through the eCampus Reader or compatible Adobe readers.

Applications are available on iOS, Android, PC, Mac, and Windows Mobile platforms.

Please view the compatibility matrix prior to purchase.