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Simulation techniques in financial risk management /

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Bibliographic Details
Main Author: Chan, Ngai Hang
Corporate Author: John Wiley & Sons
Other Authors: Wong, Hoi Ying, 1974-
Format: eBook
Language:English
Published: Hoboken, N.J. : Wiley-Interscience, [2006]
Series:Statistics in practice.
Subjects:
Finance > Simulation methods.
Risk management > Simulation methods.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 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.