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Simulation techniques in financial risk management

Author: Ngai Hang Chan; Hoi Ying Wong; John Wiley & Sons.
Publisher: Hoboken, N.J. : Wiley-Interscience, ©2006.
Series: Statistics in practice.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Chan, Ngai Hang.
Simulation techniques in financial risk management.
Hoboken, N.J. : Wiley-Interscience, ©2006
(DLC) 2005054992
(OCoLC)62118454
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ngai Hang Chan; Hoi Ying Wong; John Wiley & Sons.
ISBN: 0471469874 9780471469872 0471789496 9780471789499 0471789488 9780471789482 9781118735930 1118735935
OCLC Number: 85820979
Description: 1 online resource (xvii, 220 pages) : illustrations.
Contents: Brownian motions and Itō's rule --
Black-Scholes model and option pricing --
Generating random variables --
Standard simulations in risk management --
Variance reduction techniques --
Path-dependent options --
Multi-asset options --
Interest rate models --
Markov chain Monte Carlo methods.
Series Title: Statistics in practice.
Responsibility: Ngai Hang Chan, Hoi Ying Wong.
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Abstract:

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  Read more...

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"...a wonderful book and strongly recommended for practitioners in the field." (Technometrics, May 2007) "...a nice, self-contained introduction to simulation and computational techniques in Read more...

 
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