Simulation techniques in financial risk management:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, N.J.
Wiley
2015
|
| Edition: | 2. ed. |
| Series: | Statistics in practice
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVIII, 205 S. graph. Darst. |
| ISBN: | 9781118735817 |
Staff View
MARC
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Record in the Search Index
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| adam_text | CONTENTS
List of Figures xi
List of Tables Xlll
Preface XV
1 Preliminaries of VBA 1
1.1 Introduction, 1
1.2 Basis Excel VBA, 1
1.2.1 Developer Mode and Security Level, 2
1.2.2 Visual Basic Editor, 2
1.2.3 The Macro Recorder, 5
1.2.4 Setting Up a Command Button, 6
1.3 VBA Programming Fundamentals, 8
1.3.1 Declaration of Variables, 8
1.3.2 Types of Variables, 8
1.3.3 Declaration of Multivariable, 9
1.3.4 Declaration of Constants, 9
1.3.5 Operators, 9
1.3.6 User-Defined Data Types, 10
1.3.7 Arrays and Matrices, 11
1.3.8 Data Input and Output, 12
1.3.9 Conditional Statements, 12
1.3.10 Loops, 13
viii
1.3.11 Sub Procedures and Function Procedures, 15
1.3.12 VBA’s Built-In Functions, 18
CONTENTS
2 Basic Properties of Futures and Options
2.1 Introduction, 19
2.1.1 Arbitrage and Hedging, 19
2.1.2 Forward Contracts, 20
2.1.3 Futures Contracts, 23
2.2 Options, 26
2.3 Exercises, 31
3 Introduction to Simulation
3.1 Questions, 35
3.2 Simulation, 35
3.3 Examples, 36
3.3.1 Quadrature, 36
3.3.2 Monte Carlo, 37
3.4 Stochastic Simulations, 38
3.5 Exercises, 40
4 Brownian Motions and Ito’s Rule
4.1 Introduction, 41
4.2 Wiener and Ito’s Processes, 41
4.3 Stock Price, 46
4.4 Ito’s Formula, 47
4.5 Exercises, 54
5 Black-Scholes Model and Option Pricing
5.1 Introduction, 57
5.2 One Period Binomial Model, 58
5.3 The Black-Scholes-Merton Equation, 61
5.4 Black-Scholes Formula, 67
5.5 Exercises, 72
6 Generating Random Variables
6.1 Introduction, 7 5
6.2 Random Numbers, 75
6.3 Discrete Random Variables, 76
6.4 Acceptance-Rejection Method, 78
6.5 Continuous Random Variables, 79
6.5.1 Inverse Transform, 80
19
35
41
57
75
CONTENTS
6.5.2 The Rejection Method, 81
6.5.3 Multivariate Normal, 83
6.6 Exercises, 87
7 Standard Simulations in Risk Management
7.1 Introduction, 89
7.2 Scenario Analysis, 89
7.2.1 Value at Risk, 91
7.2.2 Heavy-Tailed Distribution, 92
7.2.3 Case Study: VaR of Dow Jones, 94
7.3 Standard Monte Carlo, 96
7.3.1 Mean, Variance, and Interval Estimation, 97
7.3.2 Simulating Option Prices, 99
7.3.3 Simulating Option Delta, 102
7.4 Exercises, 104
7.5 Appendix, 105
8 Variance Reduction Techniques
8.1 Introduction, 107
8.2 Antithetic Variables, 107
8.3 Stratified Sampling, 112
8.4 Control Variates, 120
8.5 Importance Sampling, 125
8.6 Exercises, 131
9 Path Dependent Options
9.1 Introduction, 133
9.2 Barrier Option, 133
9.3 Lookback Option, 135
9.4 Asian Option, 136
9.5 American Option, 138
9.5.1 Simulation: Least Squares Approach, 138
9.5.2 Analyzing the Least Squares Approach, 141
9.5.3 American Style Path Dependent Options, 144
9.6 Greek Letters, 145
9.7 Exercises, 148
10 Muitiasset Options
10.1 Introduction, 151
10.2 Simulating European Multiasset Options, 152
10.3 Case Study: On Estimating Basket Options, 153
X
10.4 Dimension Reduction, 155
10.5 Exercises, 158
CONTENTS
11 Interest Rate Models 161
11.1 Introduction, 161
11.2 Discount Factor and Bond Prices, 161
11.3 Stochastic Interest Rate Models and Their Simulations, 165
11.4 Hull-White Model, 167
11.5 Fixed Income Derivatives Pricing, 171
11.6 Exercises, 174
12 Markov Chain Monte Carlo Methods 177
12.1 Introduction, 177
12.2 Bayesian Inference, 177
12.3 Simulating Posteriors, 179
12.4 Markov Chain Monte Carlo, 180
12.4.1 Gibbs Sampling, 180
12.4.2 Case Study: The Effect of Jumps on Dow Jones, 183
12.5 Metropolis-Hastings Algorithm, 188
12.6 Exercises, 196
References 199
Index
203
|
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| author | Chan, Ngai Hang 1958- Wong, Hoi Ying 1974- |
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| callnumber-subject | HG - Finance |
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| dewey-full | 338.522 338.5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 338 - Production |
| dewey-raw | 338.5 22 338.5 |
| dewey-search | 338.5 22 338.5 |
| dewey-sort | 3338.5 222 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| indexdate | 2024-07-10T07:08:56Z |
| institution | BVB |
| isbn | 9781118735817 |
| language | English |
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| series2 | Statistics in practice |
| spelling | Chan, Ngai Hang 1958- Verfasser (DE-588)132116561 aut Simulation techniques in financial risk management Ngai Hang Chan ; Hoi Ying Wong 2. ed. Hoboken, N.J. Wiley 2015 XVIII, 205 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Statistics in practice Risikomanagement (DE-588)4121590-4 gnd rswk-swf Finanzierungstheorie (DE-588)4154418-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Finanzierungstheorie (DE-588)4154418-3 s Finanzmathematik (DE-588)4017195-4 s Wong, Hoi Ying 1974- Verfasser (DE-588)171914562 aut Digitalisierung UB Passau - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028188465&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chan, Ngai Hang 1958- Wong, Hoi Ying 1974- Simulation techniques in financial risk management Risikomanagement (DE-588)4121590-4 gnd Finanzierungstheorie (DE-588)4154418-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4154418-3 (DE-588)4017195-4 (DE-588)4114528-8 |
| title | Simulation techniques in financial risk management |
| title_auth | Simulation techniques in financial risk management |
| title_exact_search | Simulation techniques in financial risk management |
| title_full | Simulation techniques in financial risk management Ngai Hang Chan ; Hoi Ying Wong |
| title_fullStr | Simulation techniques in financial risk management Ngai Hang Chan ; Hoi Ying Wong |
| title_full_unstemmed | Simulation techniques in financial risk management Ngai Hang Chan ; Hoi Ying Wong |
| title_short | Simulation techniques in financial risk management |
| title_sort | simulation techniques in financial risk management |
| topic | Risikomanagement (DE-588)4121590-4 gnd Finanzierungstheorie (DE-588)4154418-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Risikomanagement Finanzierungstheorie Finanzmathematik Mathematisches Modell |
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