Handbook of financial risk management: simulations and case studies
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2013
|
| Schriftenreihe: | Wiley handbooks in financial engineering and econometrics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index Weitere Ausgabe: Online version : Handbook of simulation and financial risk management with practical case studies |
| Beschreibung: | XV, 412 S. graf. Darst. |
| ISBN: | 9780470647158 9781118573501 |
Internformat
MARC
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| 245 | 1 | 0 | |a Handbook of financial risk management |b simulations and case studies |c N. H. Chan ; H. Y. Wong |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2013 | |
| 300 | |a XV, 412 S. |b graf. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley handbooks in financial engineering and econometrics | |
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a Weitere Ausgabe: Online version : Handbook of simulation and financial risk management with practical case studies | ||
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-026115934 | ||
Datensatz im Suchindex
| _version_ | 1804150537352904704 |
|---|---|
| adam_text | Contents
Preface
xi
1 An
Introduction
to Excel
VBA
1
1.1
How to Start Excel VBA
/ 1
1.1.1
Introduction
/ 1
1.1.2
Visual Basic Editor
/ 2
1.1.3
The Macro Recorder
/ 3
1.1.4
Insert a Command Button
/ 5
1.2
VBA Programming Fundamentals
/ 8
1.2.1
Declaration of Variables
/ 8
1.2.2
Types of Variables
/ 9
1.2.3 Multivariable
Declaration
/ 10
1.2.4
Declaration of Constants
/ 10
1.2.5
Operators
/ 11
1.2.6
User-Defined Data Types
/ 11
1.2.7
Arrays and Matrices
/ 13
1.2.8
Data Input and Output
/ 14
1.2.9
Conditional Statements
/ 14
1.2.10
Loops
/ 16
VI
CONľľNTS
1.3
Linking
VBA
to
C++ / 18
1.4
Sub Procedures and Function Procedures
/ 19
1.4.1
VBA Built-in Functions
/ 22
1.4.2
Multiple Linear Regression
/ 23
1.5
Random Number Generation
/ 25
1.5.1
Inverse Transform
/ 25
1.5.2
Acceptance-Rejection Method
/ 26
1.6
List of Functions Delined in the Book
/ 28
1.6.1
Constants
/ 28
1.6.2
Types
/ 28
1.6.3
General Functions
/ 28
1.6.4
Asset Path Simulation Functions
/ 30
1.6.5
Other Functions
/ 32
1.6.6
Remarks
/ 32
2
Background
33
2.1
A Brief Review of Martingales and
Itô s
Calculus
/ 34
2.1.1
Martingales
/ 34
2.1.2
Brownian Motion
/ 35
2.1.3
Itô s
Process and
Itô s
Lemma
/ 39
2.1.4
Discretization Methods
/ 41
2.1.5
The Black-Scholes Equation and Risk-Neutral
Valuation
/ 43
2.1.6
Change of Measures
/ 47
2.2
Volatility
/ 50
2.3
Mark to Market and Calibration
/ 53
2.3.1
Marking to Market
/ 53
2.3.2
Calculation of MTM Values
/ 54
2.3.3
Calibration
/ 55
2.4
Variance Reduction Techniques
/ 55
2.4.1
A Brief Review of Variance Reduction Techniques
/ 55
2.4.2
Pricing a Call Option
/ 68
3
Structured Products
71
3.1
When Is Simulation Unnecessary?
/ 72
3.1.1
Portfolio Replication Pricing
/ 72
3.1.2
Equity-Linked Notes
/ 72
3.2
Simulation of Black-Scholes Model and
European Options
/ 73
CONTENTS
VU
3.3 American
Options
/ 79
3.3.1
Empirical
Martingale Correction
/ 87
3.4
Range
Accrual
Notes
/ 89
3.4.1
Possible Design
and Sample Term Sheet /
89
3.4.2
Closed-Form Solution for European RAN Under
Black-Scholes Model
/ 89
3.4.3
Callable and American Features
/ 91
3.5
FX Accumulator: The Case of Citic Pacilic LTD
/ 95
3.5.1
Event Playback
/ 95
3.5.2
Structure of an Accumulator
/ 97
3.5.3
Accumulator Valuation
/ 97
3.5.4
Sensitivity Analysis
/ 103
3.6
Life Insurance Contracts
/ 105
3.6.1
Introduction
/ 105
3.6.2
Typical Contract Structures
/ 105
3.6.3
Simulation Algorithms
/ 107
3.7
Multi-Asset Instruments
/ 108
3.7.1
Multi-Asset Range Accrual Equity-Linked Notes
/ 112
3.7.2
Currency-Translated Products
/ 116
Volatility Modeling
121
4.1
Local Volatility Models: Simulation and Binomial Tree
/ 122
4.1.1
Calibration of Local Volatility Function and Dupire
Equation
/ 123
4.1.2
Implied Binomial Tree
/ 130
4.2
The Heston Stochastic Volatility Model
/ 135
4.2.1
The Heston Model and Option Pricing
/ 136
4.2.2
Model Calibration and Implementation
/ 138
4.2.3
Calibration to European Options: Differential
Evolution
/ 139
4.3
Simulation of Exotic Option Prices under Heston Model
/ 143
4.3.1
Heston Stochastic Volatility Model Simulation Methods:
Quadratic-Exponential Discretization Scheme
/ 143
4.3.2
QE Discretization Scheme for V(t) I
145
4.3.3
QE Discretization Scheme for S(t) I
146
4.3.4
Performance Analysis of the QE Scheme
/ 148
4.3.5
CITIC Case Study Revisited
/ 150
4.4
The GARCH Option Pricing Model
/ 156
4.4.1
Estimation of Model Parameters
/ 157
VIU
CONTENTS
4.4.2
Identification
ol
the Risk-Neutral Process
/ 161
4.4.3
Pricing Exotics
/ 163
4.5
Jump-Diffusion Model
/ 164
4.5.1
Simulation of Asset Price Paths and Product Valuation
/ 167
4.5.2
Estimation of Jump-Diffusion
/ 171
5
Fixed-Income Derivatives I: Short-Rate Models
177
5.1
Yield Curve Building
/ 179
5.1.1
Building the Forward Rate Curve
/ 192
5.2
The Hull-White Model
/ 194
5.2.1
Calibration of the Hull-White Model
/ 197
5.3
Pricing Interest Rate Products Using the Direction Simulation
Approach
/ 204
5.3.1
Target Redemption Notes
/ 206
5.3.2
Interest Rate Range Accrual Notes
/ 207
5.4
Pricing Interest Rate Products Using the Trinomial
Tree Approach
/ 209
5.4.1
Bond Price
/ 214
5.4.2
Generalized Hull-White Model: The Tree Approach
/ 214
5.4.3
Simulation Using the Trinomial Tree
/ 215
5.4.4
Pricing Target Redemption Notes
/ 216
5.4.5
Pricing Interest Rate Range Accrual Notes
/216
6
Fixed-Income Derivatives II:
LIBOR
Market Models
217
6.1
LIBOR
Market Models
/219
6.1.1
Pricing Formula for Caplets/Caps
/ 222
6.1.2
S
waption Formula
/ 224
6.2
Calibration to Caps and Swaptions
/ 227
6.3
Simulation Across Different Forward Measures
/ 241
6.4
Bermudán
Swaptions in a Three-Factor Model
/ 249
6.5
Epilogue
/ 252
7
Credit Derivatives and Counterparty Credit Risk
255
7.1
Structural Models of Credit Risk
/ 256
7.1.1
The Merton Model
/ 256
7.1.2
First Passage Time Model
/ 259
7.2
The Vasicek Single-Factor Model
/ 260
7.2.1
Credit Portfolio Management
/ 261
7.2.2
Pricing Collateralized Debt Obligations
/ 266
CONTENTS ¡X
7.3
Copula Approach to Credit Derivative
Pricing
/ 272
7.3.1
Basic Concepts
ol
Copulas
/ 273
7.3.2
The Gaussian Copula and /-Copula
/ 274
7.3.3 Modelini! Joint
Default Times with Copulas
/ 278
7.3.4
Pricing Basket Default Swaps
/ 280
7.4
Counterparty Credit Risk
/ 286
7.4.1
Hxposure in Trading Derivatives with a Counterparty
/ 287
7.4.2
Counterparty-Level Hxposure
/ 288
7.4.3
Collateral Modeling for Margined Portfolios
/ 289
7.4.4
Credit Value Adjustment
/ 290
7.4.5
Independence of Probability of Default
and Exposure
/ 291
7.4.6
Modeling Right-Way and Wrong-Way Risks
/ 298
8
Value-at-Risk and Related Risk Measures
303
8.1
Value-at-Risk
/ 304
8.2
Parametric VaR
/ 305
8.2.1
Two-Asset Case
/ 306
8.2.2
Heavy-Tailed Distribution
/ 307
8.2.3
Holding Period Adjustment
/ 312
8.2.4
Portfolio VaR
/312
8.3
Delta-Normal Approximation
/314
8.3.1
Option VaR
/ 314
8.3.2
Fixed-Income VaR
/ 316
8.4
Delta-Gamma Approximation
/317
8.4.1
Option VaR
/317
8.4.2
Fixed-Income VaR
/ 318
8.5
VaR Simulation Methods
/319
8.5.1
Historical Simulation
/319
8.5.2
Advantages and Disadvantages
/ 322
8.5.3
Monte Carlo Simulation
/ 323
8.5.4
Gibbs Sampling and Multivariate Normal Distribution
/ 327
8.5.5
Advantages and Disadvantages
/ 331
8.6
VaR-Related Risk Measures
/ 332
8.6.1
Conditional Value-at-Risk
/ 333
8.6.2
CVaR Distribution
/ 335
8.6.3
Marginal, Incremental, and Component VaRs
/ 335
8.6.4
VaR and CVaR in Local Volatility Models
/ 337
X CONTENTS
8.7
VaR Back-Testing
/ 339
8.7.1
Back-Testing of VaR Models
/ 340
9
The Greeks
343
9.1
Black-Scholes Greeks
/ 346
9.2
Greeks in a Binomial Tree
/ 348
9.3
Finite Difference Approximation
/ 350
9.4
Likelihood Ratio Method
/ 355
9.5
Pathwise Derivative Estimates
/ 360
9.5.1
Application to European Options
/ 360
9.5.2
Application to Multi-Asset Derivatives
/ 365
9.5.3
Application to Interest Rate Derivatives in
LIBOR
Market Model
/ 367
9.5.4
Problem with the Adjoint Method
/ 373
9.6
Greek Calculation with Discontinuous Payoffs
/ 374
9.6.1
Functional Approximation for Digital Options
/ 374
9.6.2
Vibrato Method for Digital Options
/ 376
9.6.3
Multivariate Generalization
/ 379
Appendix
381
References
401
Author Index
405
Subject Index
407
|
| any_adam_object | 1 |
| author | Chan, Ngai Hang 1958- Wong, Hoi Ying 1974- |
| author_GND | (DE-588)132116561 (DE-588)171914562 |
| author_facet | Chan, Ngai Hang 1958- Wong, Hoi Ying 1974- |
| author_role | aut aut |
| author_sort | Chan, Ngai Hang 1958- |
| author_variant | n h c nh nhc h y w hy hyw |
| building | Verbundindex |
| bvnumber | BV041140279 |
| classification_rvk | QP 890 |
| ctrlnum | (OCoLC)856824787 (DE-599)BVBBV041140279 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV041140279 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T00:40:30Z |
| institution | BVB |
| isbn | 9780470647158 9781118573501 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026115934 |
| oclc_num | 856824787 |
| open_access_boolean | |
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| owner_facet | DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-19 DE-BY-UBM |
| physical | XV, 412 S. graf. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley handbooks in financial engineering and econometrics |
| spelling | Chan, Ngai Hang 1958- Verfasser (DE-588)132116561 aut Handbook of financial risk management simulations and case studies N. H. Chan ; H. Y. Wong Hoboken, NJ Wiley 2013 XV, 412 S. graf. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley handbooks in financial engineering and econometrics Includes bibliographical references and index Weitere Ausgabe: Online version : Handbook of simulation and financial risk management with practical case studies Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Simulation (DE-588)4055072-2 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf aFinancexSimulation methods aRisk managementxSimulation methods Kapitalmarkt (DE-588)4029578-3 s Finanzierung (DE-588)4017182-6 s Risikomanagement (DE-588)4121590-4 s Simulation (DE-588)4055072-2 s DE-604 Wong, Hoi Ying 1974- Verfasser (DE-588)171914562 aut Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026115934&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chan, Ngai Hang 1958- Wong, Hoi Ying 1974- Handbook of financial risk management simulations and case studies Kapitalmarkt (DE-588)4029578-3 gnd Finanzierung (DE-588)4017182-6 gnd Simulation (DE-588)4055072-2 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4017182-6 (DE-588)4055072-2 (DE-588)4121590-4 |
| title | Handbook of financial risk management simulations and case studies |
| title_auth | Handbook of financial risk management simulations and case studies |
| title_exact_search | Handbook of financial risk management simulations and case studies |
| title_full | Handbook of financial risk management simulations and case studies N. H. Chan ; H. Y. Wong |
| title_fullStr | Handbook of financial risk management simulations and case studies N. H. Chan ; H. Y. Wong |
| title_full_unstemmed | Handbook of financial risk management simulations and case studies N. H. Chan ; H. Y. Wong |
| title_short | Handbook of financial risk management |
| title_sort | handbook of financial risk management simulations and case studies |
| title_sub | simulations and case studies |
| topic | Kapitalmarkt (DE-588)4029578-3 gnd Finanzierung (DE-588)4017182-6 gnd Simulation (DE-588)4055072-2 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Kapitalmarkt Finanzierung Simulation Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026115934&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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