http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
Simulation techniques in financial risk management
"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"--
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
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
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
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
Includes bibliographical references and index.
MATHEMATICS / Probability & Statistics / General