Simulation techniques in financial risk management : [with website]

Ngai Hang Chan and Hoi Ying Wong

Praise for the First Edition“…a nice, self-contained introduction to simulation and computational techniques in finance…”– Mathematical ReviewsSimulation Techniques in Financial Risk Management, Second Editiontakes 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. The Second Editionalso features:Updates to primary software used throughout the book, Microsoft Office® Excel® VBANew topical coverage on multiple assets, model-free properties, and related models. More than 300 exercises at the end of each chapter, with select answers in the appendix, to help readers apply new concepts and test their understandingExtensive use of examples to illustrate how to use simulation techniques in risk managementPractical case studies, such as the pricing of exotic options; simulations of Greeks in hedging; and the use of Bayesian ideas to assess the impact of jumps, so readers can reproduce the results of the studies. A related website with additional solutions to problems within the book as well as Excel VBA and S-Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management, Second Editionis an invaluable resource for risk managers in the financial and actuarial industries as well as a useful reference for readers interested in learning how to better gauge risk and make more informed decisions. The book is also ideal for upper-undergraduate and graduate-level courses in simulation and risk management. Ngai Hang Chan, PhD, is Choh-Min Li Chair Professor of Statistics of the Department of Statistics at The Chinese University of Hong Kong. An elected Fellow of the Institute of Mathematical Statistics and the American Statistical Association, Professor Chan is also the co-editor and associate editor of 8 journals and author of Time Series: Applications to Finance with R and S-Plus, Second Edition andHandbook of Financial Risk Management: Simulations and Case Studies, both also published by Wiley. His research interests include statistical finance, risk management, time series, econometrics, and stochastic modeling. Hoi-Ying Wong, PhD,is Professor in the Risk Management Science Program of the Department of Statistics at The Chinese University of Hong Kong. Professor Wong is also associate editor of one journal and the author of Handbook of Financial Risk Management: Simulations and Case Studies, also published by Wiley. His research interests include derivatives pricing, interest rate modeling, financial risk management, and statistical finance.

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Year of publication:	c 2015 ; 2. ed.
Authors:	Chan, Ngai Hang ; Wong, Hoi Ying
Publisher:	Hoboken, NJ : Wiley
Subject:	Optionspreistheorie \| Option pricing theory \| Black-Scholes-Modell \| Black-Scholes model \| CAPM \| Simulation \| Theorie \| Theory \| Risikomanagement \| Mathematisches Modell
Description of contents:	Table of Contents [gbv.de] ; Description [zbmath.org]

Extent:	XVIII, 205 S. Ill., graph. Darst.
Series:	Statistics in practice
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. [199] - 202 Cover; Title Page; Copyright; Dedication; Contents; List of Figures; List of Tables; Preface; Chapter 1 Preliminaries of VBA; 1.1 Introduction; 1.2 Basis Excel VBA; 1.2.1 Developer Mode and Security Level; 1.2.2 Visual Basic Editor; 1.2.3 The Macro Recorder; 1.2.4 Setting Up a Command Button; 1.3 VBA Programming Fundamentals; 1.3.1 Declaration of Variables; 1.3.2 Types of Variables; 1.3.3 Declaration of Multivariable; 1.3.4 Declaration of Constants; 1.3.5 Operators; 1.3.6 User-Defined Data Types; 1.3.7 Arrays and Matrices; 1.3.8 Data Input and Output; 1.3.9 Conditional Statements 1.3.10 Loops1.3.11 Sub Procedures and Function Procedures; 1.3.12 VBA's Built-In Functions; Chapter 2 Basic Properties of Futures and Options; 2.1 Introduction; 2.1.1 Arbitrage and Hedging; 2.1.2 Forward Contracts; 2.1.3 Futures Contracts; 2.2 Options; 2.3 Exercises; Chapter 3 Introduction to Simulation; 3.1 Questions; 3.2 Simulation; 3.3 Examples; 3.3.1 Quadrature; 3.3.2 Monte Carlo; 3.4 Stochastic Simulations; 3.5 Exercises; Chapter 4 Brownian Motions and Itô's Rule; 4.1 Introduction; 4.2 Wiener and Itô's Processes; 4.3 Stock Price; 4.4 Itô's Formula; 4.5 Exercises Chapter 5 Black--Scholes Model and Option Pricing5.1 Introduction; 5.2 One Period Binomial Model; 5.3 The Black--Scholes--Merton Equation; 5.4 Black--Scholes Formula; 5.5 Exercises; Chapter 6 Generating Random Variables; 6.1 Introduction; 6.2 Random Numbers; 6.3 Discrete Random Variables; 6.4 Acceptance-Rejection Method; 6.5 Continuous Random Variables; 6.5.1 Inverse Transform; 6.5.2 The Rejection Method; 6.5.3 Multivariate Normal; 6.6 Exercises; Chapter 7 Standard Simulations in Risk Management; 7.1 Introduction; 7.2 Scenario Analysis; 7.2.1 Value at Risk; 7.2.2 Heavy-Tailed Distribution 7.2.3 Case Study: VaR of Dow Jones7.3 Standard Monte Carlo; 7.3.1 Mean, Variance, and Interval Estimation; 7.3.2 Simulating Option Prices; 7.3.3 Simulating Option Delta; 7.4 Exercises; 7.5 Appendix; Chapter 8 Variance Reduction Techniques; 8.1 Introduction; 8.2 Antithetic Variables; 8.3 Stratified Sampling; 8.4 Control Variates; 8.5 Importance Sampling; 8.6 Exercises; Chapter 9 Path Dependent Options; 9.1 Introduction; 9.2 Barrier Option; 9.3 Lookback Option; 9.4 Asian Option; 9.5 American Option; 9.5.1 Simulation: Least Squares Approach; 9.5.2 Analyzing the Least Squares Approach 9.5.3 American Style Path Dependent Options9.6 Greek Letters; 9.7 Exercises; Chapter 10 Multiasset Options; 10.1 Introduction; 10.2 Simulating European Multiasset Options; 10.3 Case Study: On Estimating Basket Options; 10.4 Dimension Reduction; 10.5 Exercises; Chapter 11 Interest Rate Models; 11.1 Introduction; 11.2 Discount Factor and Bond Prices; 11.3 Stochastic Interest Rate Models and Their Simulations; 11.4 Hull--White Model; 11.5 Fixed Income Derivatives Pricing; 11.6 Exercises; Chapter 12 Markov Chain Monte Carlo Methods; 12.1 Introduction; 12.2 Bayesian Inference 12.3 Simulating Posteriors
ISBN:	978-1-118-73581-7
Classification:	Investition, Finanzierung ; Unternehmensführung
Source:	ECONIS - Online Catalogue of the ZBW

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