and market risk. We further discuss briefly the hedging of European options along with the local risk minimization …

This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for … measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three … methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We …

. This approach is compared with several alternative methods using real data. The paper also develops simulation- based …

two basic ways of assessing future inflation: forecast and simulation. A forecast is the most likely picture of the future …. In a forecast, all agents are assumed to behave in the most likely way. A simulation, on the other hand, is the most … differentiating between a forecast and a simulation, we discuss the pros and cons of using the two ways of assessing future inflation …

A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process …