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Handbook of financial risk management [[electronic resource] ] : simulations and case studies / / N.H. Chan, H.Y. Wong
| Handbook of financial risk management [[electronic resource] ] : simulations and case studies / / N.H. Chan, H.Y. Wong |
| Autore | Chan Ngai Hang |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (432 p.) |
| Disciplina | 332.64/50113 |
| Altri autori (Persone) | WongHoi Ying <1974-> |
| Collana | Wiley handbooks in financial engineering and econometrics |
| Soggetto topico |
Finance - Simulation methods
Risk management - Simulation methods |
| ISBN |
1-118-57354-4
1-118-57357-9 1-118-57350-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | List of figures -- List of tables -- Preface -- An introduction to excel vba -- Background -- Structured products -- Volatility modeling -- Fixed-income derivatives I : short-rate models -- Fixed-income derivatives II : libor market models -- Credit derivatives and counterparty credit risk -- Value-at-risk and related risk measures -- The Greeks -- Appendix -- References -- Subject index -- Author index. |
| Record Nr. | UNINA-9910139053703321 |
Chan Ngai Hang
|
||
| Hoboken, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Handbook of financial risk management : simulations and case studies / / N.H. Chan, H.Y. Wong
| Handbook of financial risk management : simulations and case studies / / N.H. Chan, H.Y. Wong |
| Autore | Chan Ngai Hang |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (432 p.) |
| Disciplina | 332.64/50113 |
| Altri autori (Persone) | WongHoi Ying <1974-> |
| Collana | Wiley handbooks in financial engineering and econometrics |
| Soggetto topico |
Finance - Simulation methods
Risk management - Simulation methods |
| ISBN |
1-118-57354-4
1-118-57357-9 1-118-57350-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | List of figures -- List of tables -- Preface -- An introduction to excel vba -- Background -- Structured products -- Volatility modeling -- Fixed-income derivatives I : short-rate models -- Fixed-income derivatives II : libor market models -- Credit derivatives and counterparty credit risk -- Value-at-risk and related risk measures -- The Greeks -- Appendix -- References -- Subject index -- Author index. |
| Record Nr. | UNINA-9910821651103321 |
|
Chan Ngai Hang
|
||
| Hoboken, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Simulation techniques in financial risk management / / Ngai Hang Chan and Hoi Ying Wong
| Simulation techniques in financial risk management / / Ngai Hang Chan and Hoi Ying Wong |
| Autore | Chan Ngai Hang |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (228 p.) |
| Disciplina | 338.5 |
| Collana | Statistics in Practice |
| Soggetto topico |
Finance - Simulation methods
Risk management - Simulation methods |
| ISBN |
1-118-73599-4
1-118-73595-1 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; 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
1.3.10 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 Chapter 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 7.2.3 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 9.5.3 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 12.3 Simulating Posteriors |
| Record Nr. | UNINA-9910140462703321 |
|
Chan Ngai Hang
|
||
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Simulation techniques in financial risk management / / Ngai Hang Chan and Hoi Ying Wong
| Simulation techniques in financial risk management / / Ngai Hang Chan and Hoi Ying Wong |
| Autore | Chan Ngai Hang |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (228 p.) |
| Disciplina | 338.5 |
| Collana | Statistics in Practice |
| Soggetto topico |
Finance - Simulation methods
Risk management - Simulation methods |
| ISBN |
1-118-73599-4
1-118-73595-1 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; 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
1.3.10 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 Chapter 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 7.2.3 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 9.5.3 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 12.3 Simulating Posteriors |
| Record Nr. | UNINA-9910812193903321 |
|
Chan Ngai Hang
|
||
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Time series : applications to finance with R and S-Plus / / Ngai Hang Chan
| Time series : applications to finance with R and S-Plus / / Ngai Hang Chan |
| Autore | Chan Ngai Hang |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J. : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (xxiii, 296 pages) : illustrations |
| Disciplina | 332.01/51955 |
| Soggetto topico |
Time-series analysis
Econometrics Risk management R (Computer program language) |
| ISBN |
1-280-75948-8
9786613678010 1-118-30294-X 1-118-03246-2 1-118-03071-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Time Series: Applications to Finance with R and S-Plus®, Second Edition; Contents; 12.2.1 Diagonal Form; 12.2.2 Alternative Matrix Form; List of Figures; List of Tables; Preface; Preface to the First Edition; 1 Introduction; 1.1 Basic Description; 1.2 Simple Descriptive Techniques; 1.2.1 Trends; 1.2.2 Seasonal Cycles; 1.3 Transformations; 1.4 Example; 1.5 Conclusions; 1.6 Exercises; 2 Probability Models; 2.1 Introduction; 2.2 Stochastic Processes; 2.3 Examples; 2.4 Sample Correlation Function; 2.5 Exercises; 3 Autoregressive Moving Average Models; 3.1 Introduction; 3.2 Moving Average Models
3.3 Autoregressive Models; 3.3.1 Duality between Causality and Stationarity*; 3.3.2 Asymptotic Stationarity; 3.3.3 Causality Theorem; 3.3.4 Covariance Structure of AR Models; 3.4 ARMA Models; 3.5 ARIMA Models; 3.6 Seasonal ARIMA; 3.7 Exercises; 4 Estimation in the Time Domain; 4.1 Introduction; 4.2 Moment Estimators; 4.3 Autoregressive Models; 4.4 Moving Average Models; 4.5 ARMA Models; 4.6 Maximum Likelihood Estimates; 4.7 Partial ACF; 4.8 Order Selections*; 4.9 Residual Analysis; 4.10 Model Building; 4.11 Exercises; 5 Examples in SPLUS and R; 5.1 Introduction; 5.2 Example 1; 5.3 Example 2 5.4 Exercises; 6 Forecasting; 6.1 Introduction; 6.2 Simple Forecasts; 6.3 Box and Jenkins Approach; 6.4 Treasury Bill Example; 6.5 Recursions*; 6.6 Exercises; 7 Spectral Analysis; 7.1 Introduction; 7.2 Spectral Representation Theorems; 7.3 Periodogram; 7.4 Smoothing of Periodogram*; 7.5 Conclusions; 7.6 Exercises; 8 Nonstationarity; 8.1 Introduction; 8.2 Nonstationarity in Variance; 8.3 Nonstationarity in Mean: Random Walk with Drift; 8.4 Unit Root Test; 8.5 Simulations; 8.6 Exercises; 9 Heteroskedasticity; 9.1 Introduction; 9.2 ARCH; 9.3 GARCH; 9.4 Estimation and Testing for ARCH 9.5 Example of Foreign Exchange Rates; 9.6 Exercises; 10 Multivariate Time Series; 10.1 Introduction; 10.2 Estimation of μ and Γ; 10.3 Multivariate ARMA Processes; 10.3.1 Causality and Invertibility; 10.3.2 Identifiability; 10.4 Vector AR Models; 10.5 Example of Inferences for VAR; 10.6 Exercises; 11 State Space Models; 11.1 Introduction; 11.2 State Space Representation; 11.3 Kalman Recursions; 11.4 Stochastic Volatility Models; 11.5 Example of Kalman Filtering of Term Structure; 11.6 Exercises; 12 Multivariate GARCH; 12.1 Introduction; 12.2 General Model; 12.3 Quadratic Form 12.3.1 Single-Factor GARCH(1,1); 12.3.2 Constant-Correlation Model; 12.4 Example of Foreign Exchange Rates; 12.4.1 The Data; 12.4.2 Multivariate GARCH in SPLUS; 12.4.3 Prediction; 12.4.4 Predicting Portfolio Conditional Standard Deviations; 12.4.5 BEKK Model; 12.4.6 Vector-Diagonal Models; 12.4.7 ARMA in Conditional Mean; 12.5 Conclusions; 12.6 Exercises; 13 Cointegrations and Common Trends; 13.1 Introduction; 13.2 Definitions and Examples; 13.3 Error Correction Form; 13.4 Granger's Representation Theorem; 13.5 Structure of Cointegrated Systems; 13.6 Statistical Inference for Cointegrated Systems |
| Record Nr. | UNINA-9910139201603321 |
|
Chan Ngai Hang
|
||
| Hoboken, N.J. : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Time series : applications to finance with R and S-Plus / / Ngai Hang Chan
| Time series : applications to finance with R and S-Plus / / Ngai Hang Chan |
| Autore | Chan Ngai Hang |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J. : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (xxiii, 296 pages) : illustrations |
| Disciplina | 332.01/51955 |
| Soggetto topico |
Time-series analysis
Econometrics Risk management R (Computer program language) |
| ISBN |
1-280-75948-8
9786613678010 1-118-30294-X 1-118-03246-2 1-118-03071-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Time Series: Applications to Finance with R and S-Plus®, Second Edition; Contents; 12.2.1 Diagonal Form; 12.2.2 Alternative Matrix Form; List of Figures; List of Tables; Preface; Preface to the First Edition; 1 Introduction; 1.1 Basic Description; 1.2 Simple Descriptive Techniques; 1.2.1 Trends; 1.2.2 Seasonal Cycles; 1.3 Transformations; 1.4 Example; 1.5 Conclusions; 1.6 Exercises; 2 Probability Models; 2.1 Introduction; 2.2 Stochastic Processes; 2.3 Examples; 2.4 Sample Correlation Function; 2.5 Exercises; 3 Autoregressive Moving Average Models; 3.1 Introduction; 3.2 Moving Average Models
3.3 Autoregressive Models; 3.3.1 Duality between Causality and Stationarity*; 3.3.2 Asymptotic Stationarity; 3.3.3 Causality Theorem; 3.3.4 Covariance Structure of AR Models; 3.4 ARMA Models; 3.5 ARIMA Models; 3.6 Seasonal ARIMA; 3.7 Exercises; 4 Estimation in the Time Domain; 4.1 Introduction; 4.2 Moment Estimators; 4.3 Autoregressive Models; 4.4 Moving Average Models; 4.5 ARMA Models; 4.6 Maximum Likelihood Estimates; 4.7 Partial ACF; 4.8 Order Selections*; 4.9 Residual Analysis; 4.10 Model Building; 4.11 Exercises; 5 Examples in SPLUS and R; 5.1 Introduction; 5.2 Example 1; 5.3 Example 2 5.4 Exercises; 6 Forecasting; 6.1 Introduction; 6.2 Simple Forecasts; 6.3 Box and Jenkins Approach; 6.4 Treasury Bill Example; 6.5 Recursions*; 6.6 Exercises; 7 Spectral Analysis; 7.1 Introduction; 7.2 Spectral Representation Theorems; 7.3 Periodogram; 7.4 Smoothing of Periodogram*; 7.5 Conclusions; 7.6 Exercises; 8 Nonstationarity; 8.1 Introduction; 8.2 Nonstationarity in Variance; 8.3 Nonstationarity in Mean: Random Walk with Drift; 8.4 Unit Root Test; 8.5 Simulations; 8.6 Exercises; 9 Heteroskedasticity; 9.1 Introduction; 9.2 ARCH; 9.3 GARCH; 9.4 Estimation and Testing for ARCH 9.5 Example of Foreign Exchange Rates; 9.6 Exercises; 10 Multivariate Time Series; 10.1 Introduction; 10.2 Estimation of μ and Γ; 10.3 Multivariate ARMA Processes; 10.3.1 Causality and Invertibility; 10.3.2 Identifiability; 10.4 Vector AR Models; 10.5 Example of Inferences for VAR; 10.6 Exercises; 11 State Space Models; 11.1 Introduction; 11.2 State Space Representation; 11.3 Kalman Recursions; 11.4 Stochastic Volatility Models; 11.5 Example of Kalman Filtering of Term Structure; 11.6 Exercises; 12 Multivariate GARCH; 12.1 Introduction; 12.2 General Model; 12.3 Quadratic Form 12.3.1 Single-Factor GARCH(1,1); 12.3.2 Constant-Correlation Model; 12.4 Example of Foreign Exchange Rates; 12.4.1 The Data; 12.4.2 Multivariate GARCH in SPLUS; 12.4.3 Prediction; 12.4.4 Predicting Portfolio Conditional Standard Deviations; 12.4.5 BEKK Model; 12.4.6 Vector-Diagonal Models; 12.4.7 ARMA in Conditional Mean; 12.5 Conclusions; 12.6 Exercises; 13 Cointegrations and Common Trends; 13.1 Introduction; 13.2 Definitions and Examples; 13.3 Error Correction Form; 13.4 Granger's Representation Theorem; 13.5 Structure of Cointegrated Systems; 13.6 Statistical Inference for Cointegrated Systems |
| Record Nr. | UNINA-9910816191003321 |
|
Chan Ngai Hang
|
||
| Hoboken, N.J. : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||