Simulation techniques in financial risk management
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Main Authors: | |
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Group Author: | |
Published: |
Wiley-Interscience,
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Publisher Address: | Hoboken, N.J. |
Publication Dates: | c2006. |
Literature type: | Book |
Language: | English |
Series: |
Statistics in practice |
Subjects: | |
Carrier Form: | xvii, 220 p.: ill. ; 25 cm. |
ISBN: |
0471469874 (cloth) 9780471469872 |
Index Number: | F224 |
CLC: | F224.0 |
Call Number: | F224.0/C454 |
Contents: |
Includes bibliographical references (p. 211-215) and index. 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. |