Screen LibrarySimulation techniques in financial risk management
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| Main Authors: | |
|---|---|
| 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. |