European University Institute Library

Simulation techniques in financial risk management, Ngai Hang Chan, Hoi-Ying Wong

Summary
'Simulation 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.--, Provided by publisher
Table Of Contents
1. Preliminaries of VBA -- 2. Basic Properties of Futures and Options -- 3. Introduction to Simulation -- 4. Brownian Motions and Itô's 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
Language
eng
Literary Form
non fiction
Edition
Second edition.
Physical Description
xviii, 205 pages, 24 cm.
Isbn
9781118735817

Library Locations

  • Badia Fiesolana

    Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
    Borrow