LEADER 05564nam 2200709 450 001 9910812193903321 005 20200520144314.0 010 $a1-118-73599-4 010 $a1-118-73595-1 035 $a(CKB)2670000000610005 035 $a(EBL)1895568 035 $a(SSID)ssj0001459980 035 $a(PQKBManifestationID)11902135 035 $a(PQKBTitleCode)TC0001459980 035 $a(PQKBWorkID)11464848 035 $a(PQKB)10428945 035 $a(MiAaPQ)EBC1895568 035 $a(Au-PeEL)EBL1895568 035 $a(CaPaEBR)ebr11048192 035 $a(CaONFJC)MIL770212 035 $a(OCoLC)900684533 035 $a(PPN)191912077 035 $a(EXLCZ)992670000000610005 100 $a20150508h20152015 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aSimulation techniques in financial risk management /$fNgai Hang Chan and Hoi Ying Wong 205 $aSecond edition. 210 1$aHoboken, New Jersey :$cWiley,$d2015. 210 4$d©2015 215 $a1 online resource (228 p.) 225 1 $aStatistics in Practice 300 $aDescription based upon print version of record. 311 $a1-118-73593-5 311 $a1-118-73581-1 320 $aIncludes bibliographical references and index. 327 $aCover; Title Page; Copyright; Dedication; Contents; List of Figures; List of Tables; Preface; Chapter 1 Preliminaries of VBA; 1.1 Introduction; 1.2 Basis Excel VBA; 1.2.1 Developer Mode and Security Level; 1.2.2 Visual Basic Editor; 1.2.3 The Macro Recorder; 1.2.4 Setting Up a Command Button; 1.3 VBA Programming Fundamentals; 1.3.1 Declaration of Variables; 1.3.2 Types of Variables; 1.3.3 Declaration of Multivariable; 1.3.4 Declaration of Constants; 1.3.5 Operators; 1.3.6 User-Defined Data Types; 1.3.7 Arrays and Matrices; 1.3.8 Data Input and Output; 1.3.9 Conditional Statements 327 $a1.3.10 Loops1.3.11 Sub Procedures and Function Procedures; 1.3.12 VBA's Built-In Functions; Chapter 2 Basic Properties of Futures and Options; 2.1 Introduction; 2.1.1 Arbitrage and Hedging; 2.1.2 Forward Contracts; 2.1.3 Futures Contracts; 2.2 Options; 2.3 Exercises; Chapter 3 Introduction to Simulation; 3.1 Questions; 3.2 Simulation; 3.3 Examples; 3.3.1 Quadrature; 3.3.2 Monte Carlo; 3.4 Stochastic Simulations; 3.5 Exercises; Chapter 4 Brownian Motions and Itô's Rule; 4.1 Introduction; 4.2 Wiener and Itô's Processes; 4.3 Stock Price; 4.4 Itô's Formula; 4.5 Exercises 327 $aChapter 5 Black--Scholes Model and Option Pricing5.1 Introduction; 5.2 One Period Binomial Model; 5.3 The Black--Scholes--Merton Equation; 5.4 Black--Scholes Formula; 5.5 Exercises; Chapter 6 Generating Random Variables; 6.1 Introduction; 6.2 Random Numbers; 6.3 Discrete Random Variables; 6.4 Acceptance-Rejection Method; 6.5 Continuous Random Variables; 6.5.1 Inverse Transform; 6.5.2 The Rejection Method; 6.5.3 Multivariate Normal; 6.6 Exercises; Chapter 7 Standard Simulations in Risk Management; 7.1 Introduction; 7.2 Scenario Analysis; 7.2.1 Value at Risk; 7.2.2 Heavy-Tailed Distribution 327 $a7.2.3 Case Study: VaR of Dow Jones7.3 Standard Monte Carlo; 7.3.1 Mean, Variance, and Interval Estimation; 7.3.2 Simulating Option Prices; 7.3.3 Simulating Option Delta; 7.4 Exercises; 7.5 Appendix; Chapter 8 Variance Reduction Techniques; 8.1 Introduction; 8.2 Antithetic Variables; 8.3 Stratified Sampling; 8.4 Control Variates; 8.5 Importance Sampling; 8.6 Exercises; Chapter 9 Path Dependent Options; 9.1 Introduction; 9.2 Barrier Option; 9.3 Lookback Option; 9.4 Asian Option; 9.5 American Option; 9.5.1 Simulation: Least Squares Approach; 9.5.2 Analyzing the Least Squares Approach 327 $a9.5.3 American Style Path Dependent Options9.6 Greek Letters; 9.7 Exercises; Chapter 10 Multiasset Options; 10.1 Introduction; 10.2 Simulating European Multiasset Options; 10.3 Case Study: On Estimating Basket Options; 10.4 Dimension Reduction; 10.5 Exercises; Chapter 11 Interest Rate Models; 11.1 Introduction; 11.2 Discount Factor and Bond Prices; 11.3 Stochastic Interest Rate Models and Their Simulations; 11.4 Hull--White Model; 11.5 Fixed Income Derivatives Pricing; 11.6 Exercises; Chapter 12 Markov Chain Monte Carlo Methods; 12.1 Introduction; 12.2 Bayesian Inference 327 $a12.3 Simulating Posteriors 330 $a Praise for the First Edition""?a nice, self-contained introduction to simulation and computational techniques in finance?""-        Mathematical ReviewsSimulation Techniques in Financial Risk Management, Second Edition takes a unique approach to the field of simulations by focusing on techniques necessary in the fields of finance and risk management. Thoroughly updated, the new edition expands on several key topics in these areas and presents many of the recent innovations in simulations and risk management, such as advanced option pricing models beyond the Black-Scholes paradigm, interest ra 410 0$aStatistics in practice. 606 $aFinance$xSimulation methods 606 $aRisk management$xSimulation methods 615 0$aFinance$xSimulation methods. 615 0$aRisk management$xSimulation methods. 676 $a338.5 686 $aMAT029000$2bisacsh 700 $aChan$b Ngai Hang$0282488 702 $aWong$b Hoi Ying$f1974- 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910812193903321 996 $aSimulation techniques in financial risk management$94111040 997 $aUNINA