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Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
| Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun |
| Autore | Mun Johnathan |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (1034 p.) |
| Disciplina |
003/.3
332.015118 |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Risk assessment - Mathematical models Mathematical models Computer simulation |
| ISBN |
1-119-19709-0
1-281-73261-3 9786611732615 0-470-25811-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond; Contents; Preface; Software Applications; Part I: Modeling Toolkit and Risk Simulator Applications; INTRODUCTION TO THE MODELING TOOLKIT SOFTWARE; INTRODUCTION TO RISK SIMULATOR; RUNNING A MONTE CARLO SIMULATION; USING FORECAST CHARTS AND CONFIDENCE INTERVALS; CORRELATIONS AND PRECISION CONTROL; TORNADO AND SENSITIVITY TOOLS IN SIMULATION; SENSITIVITY ANALYSIS; DISTRIBUTIONAL FITTING: SINGLE VARIABLE AND MULTIPLE VARIABLES; BOOTSTRAP SIMULATION; HYPOTHESIS TESTING
DATA EXTRACTION, SAVING SIMULATION RESULTS, AND GENERATING REPORTSREGRESSION AND FORECASTING DIAGNOSTIC TOOL; STATISTICAL ANALYSIS TOOL; DISTRIBUTIONAL ANALYSIS TOOL; PORTFOLIO OPTIMIZATION; OPTIMIZATION WITH DISCRETE INTEGER VARIABLES; FORECASTING; 1. Analytics- Central Limit Theorem; 2. Analytics- Central Limit Theorem-Winning Lottery Numbers; 3. Analytics- Flaw of Averages; 4. Analytics- Mathematical Integration Approximation Model; 5. Analytics- Projectile Motion; 6. Analytics- Regression Diagnostics; 7. Analytics- Ships in the Night; 8. Analytics- Statistical Analysis 9. Analytics- Weighting of Ratios10. Credit Analysis- Credit Premium; 11. Credit Analysis- Credit Default Swaps and Credit Spread Options; 12. Credit Analysis- Credit Risk Analysis and Effects on Prices; 13. Credit Analysis- External Debt Ratings and Spread; 14. Credit Analysis- Internal Credit Risk Rating Model; 15. Credit Analysis- Profit Cost Analysis of New Credit; 16. Debt Analysis- Asset-Equity Parity Model; 17. Debt Analysis- Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates; 18. Debt Analysis- Debt Repayment and Amortization 19. Debt Analysis- Debt Sensitivity Models20. Debt Analysis- Merton Price of Risky Debt with Stochastic Asset and Interest; 21. Debt Analysis- Vasicek Debt Option Valuation; 22. Debt Analysis- Vasicek Price and Yield of Risky Debt; 23. Decision Analysis- Decision Tree Basics; 24. Decision Analysis- Decision Tree with EVPI, Minimax, and Bayes' Theorem; 25. Decision Analysis- Economic Order Quantity and Inventory Reorder Point; 26. Decision Analysis- Economic Order Quantity and Optimal Manufacturing; 27. Decision Analysis- Expected Utility Analysis; 28. Decision Analysis- Inventory Control 29. Decision Analysis- Queuing Models30. Exotic Options- Accruals on Basket of Assets; 31. Exotic Options- American, Bermudan, and European Options with Sensitivities; 32. Exotic Options- American Call Option on Foreign Exchange; 33. Exotic Options- American Call Options on Index Futures; 34. Exotic Options- American Call Option with Dividends; 35. Exotic Options- Asian Lookback Options Using Arithmetic Averages; 36. Exotic Options- Asian Lookback Options Using Geometric Averages; 37. Exotic Options- Asset or Nothing Options; 38. Exotic Options- Barrier Options 39. Exotic Options- Binary Digital Options |
| Record Nr. | UNINA-9910782132403321 |
Mun Johnathan
|
||
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling risk [[electronic resource] ] : applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques / / Johnathan Mun
| Modeling risk [[electronic resource] ] : applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques / / Johnathan Mun |
| Autore | Mun Johnathan |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2010 |
| Descrizione fisica | 1 online resource (976 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley finance |
| Soggetto topico |
Risk assessment
Risk assessment - Mathematical models Risk management Finance - Decision making |
| ISBN |
9786613320704
1-283-32070-3 0-470-62001-3 1-118-36633-6 1-282-68804-9 9786612688041 0-470-61999-6 |
| Classificazione | 31.80 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Moving beyond uncertainty -- From risk to riches -- A guide to model-building etiquette -- On the shores of Monaco -- Test driving risk simulator -- Pandora's toolbox -- Extended business cases I : pharmaceutical and biotech negotiations, oil and gas exploration, financial planning with simulation, hospital risk management, risk-based executive compensation valuation, and risk-based schedule planning -- Tomorrow's forecast today -- Using the past to predict the future -- The search for the optimal decision -- Optimization under uncertainty -- What is so real about real options, and why are they optional? -- The black box made transparent : real options super lattice solver software -- Extended business cases II : real estate, banking, military strategy, automotive aftermarkets, global earth observation systems, employee stock options, oil and gas royalty lease negotiations, real options and IT enterprise risk security, Basel II credit and market risk analysis, and IT information security intrusion risk management -- The warning signs -- Changing a corporate culture. |
| Record Nr. | UNINA-9910651210903321 |
|
Mun Johnathan
|
||
| New York, : Wiley, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling risk [[electronic resource] ] : applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques / / Johnathan Mun
| Modeling risk [[electronic resource] ] : applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques / / Johnathan Mun |
| Autore | Mun Johnathan |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2010 |
| Descrizione fisica | 1 online resource (976 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley finance |
| Soggetto topico |
Risk assessment
Risk assessment - Mathematical models Risk management Finance - Decision making |
| ISBN |
9786613320704
1-283-32070-3 0-470-62001-3 1-118-36633-6 1-282-68804-9 9786612688041 0-470-61999-6 |
| Classificazione | 31.80 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Moving beyond uncertainty -- From risk to riches -- A guide to model-building etiquette -- On the shores of Monaco -- Test driving risk simulator -- Pandora's toolbox -- Extended business cases I : pharmaceutical and biotech negotiations, oil and gas exploration, financial planning with simulation, hospital risk management, risk-based executive compensation valuation, and risk-based schedule planning -- Tomorrow's forecast today -- Using the past to predict the future -- The search for the optimal decision -- Optimization under uncertainty -- What is so real about real options, and why are they optional? -- The black box made transparent : real options super lattice solver software -- Extended business cases II : real estate, banking, military strategy, automotive aftermarkets, global earth observation systems, employee stock options, oil and gas royalty lease negotiations, real options and IT enterprise risk security, Basel II credit and market risk analysis, and IT information security intrusion risk management -- The warning signs -- Changing a corporate culture. |
| Record Nr. | UNINA-9910791369403321 |
|
Mun Johnathan
|
||
| New York, : Wiley, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||