Simulation Techniques in Financial Risk

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.

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.

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.

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.

FREE SHIPPING

Amazon no longer offers textbook rentals. We do!

Simulation Techniques in Financial Risk Management

Summary

Author Biography

Table of Contents

Supplemental Materials