rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Simulation techniques in financial risk management
  name:
    name part: Chan, Ngai Hang.
    role:
      role term: creator
  name:
    name part: Wong, Hoi Ying
    name part: 1974-
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: nju
    date issued: 2015
    edition: Second edition.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource.
  abstract: "More than 300 exercises at the end of each chapter provide the opportunity for readers to apply new concepts and test their knowledge. Answers for selected exercises (at the rear of the book) offer additional insights to help readers consolidate their understanding"--
  table of contents: Wiley Series in Statistics in Practice; Title Page; Copyright; Table of Contents; Dedication; List of Figures; List of Tables; Preface; Preface to the Second Edition; Preface to the First Edition; Chapter 1: Preliminaries of VBA; 1.1 Introduction; 1.2 Basis Excel VBA; 1.3 VBA Programming Fundamentals; Chapter 2: Basic Properties of Futures and Options; 2.1 Introduction; 2.2 Options; 2.3 Exercises; Chapter 3: Introduction to Simulation; 3.1 Questions; 3.2 Simulation; 3.3 Examples; 3.4 Stochastic Simulations; 3.5 Exercises; Chapter 4: Brownian Motions and Itô's Rule; 4.1 Introduction
  table of contents: 4.2 Wiener and Itô's Processes4.3 Stock Price; 4.4 Itô's Formula; 4.5 Exercises; Chapter 5: Black-Scholes Model and Option Pricing; 5.1 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; 6.6 Exercises; Chapter 7: Standard Simulations in Risk Management; 7.1 Introduction; 7.2 Scenario Analysis; 7.3 Standard Monte Carlo; 7.4 Exercises; 7.5 Appendix
  table of contents: Chapter 8: Variance Reduction Techniques8.1 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; 9.6 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
  table of contents: 11.2 Discount Factor and Bond Prices11.3 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; 12.4 Markov Chain Monte Carlo; 12.5 Metropolis-Hastings Algorithm; 12.6 Exercises; References; Index; Wiley Series in Statistics in Practice; End User License Agreement
  note: Ngai Hang Chan and Hoi Ying Wong.
  note: Includes bibliographical references and index.
  subject:
    topic: Finance
    topic: Simulation methods
  subject:
    topic: Risk management
    topic: Simulation methods
  subject:
    topic: MATHEMATICS / Probability & Statistics / General
  classification: HG173
  classification: 338.5
  classification: MAT029000
  related item:
    title info:
      title: Simulation techniques in financial risk management
    name:
      name part: Chan, Ngai Hang.
    origin info:
      publisher: Hoboken : Wiley, 2015
      edition: Second edition.
    identifier: (DLC) 2015001921
  related item:
    title info:
      title: Statistics in practice
  identifier: 9781118735930 (Adobe PDF)
  identifier: 1118735935 (Adobe PDF)
  identifier: 9781118735992 (ePub)
  identifier: 1118735994 (ePub)
  identifier: 9781118735817 (hardback)
  identifier: 9781118735954
  identifier: 1118735951
  identifier: 1118735811
  identifier: 9781118735817
  identifier: 2015003371
  identifier: https://doi.org/10.1002/9781118735954
  record info:
    record content source: DLC
    record creation date: 150123
    record change date: 20170124071915.8
    record identifier: ocn900684533
    language of cataloging:
      language term: eng