Princeton University Library Catalog

Simulation techniques in financial risk management / Ngai Hang Chan, Hoi Ying Wong.

Author:
Chan, Ngai Hang [Browse]
Format:
Book
Language:
English
Published/​Created:
Hoboken, N.J. : Wiley-Interscience, c2006.
Description:
xvii, 220 p. : ill. ; 25 cm.
Series:
Statistics in practice. [More in this series]
Summary note:
"Simulation Techniques in Financial Risk Management takes a unique approach to the field of simulations by focusing on techniques needed by practitioners in the financial and risk management industries. Key concepts are illustrated with extensive use of examples and case studies in finance and risk management; readers can then reproduce the results of the studies using either S-PLUS or Visual Basic."--BOOK JACKET.
Bibliographic references:
Includes bibliographical references (p. 211-215) and index.
Contents:
1. Introduction -- 2. Brownian motions and Ito's rule -- 3. Black-Scholes model and option pricing -- 4. Generating random variables -- 5. Standard simulations in risk management -- 6. Variance reduction techniques -- 7. Path-dependent options -- 8. Multi-asset options -- 9. Interest rate models -- 10. Markov chain Monte Carlo methods -- 11. Answers to selected exercises.
Subject(s):
ISBN:
0471469874 (cloth)
LCCN:
2005054992
OCLC:
62118454
International Article Number:
  • 9780471469872
Related name:
RCP:
C - S