Simulation Techniques in Financial Risk Management. (Record no. 44669)
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| fixed length control field | 07356nam a22005413i 4500 |
| 001 - CONTROL NUMBER | |
| control field | EBC1895568 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | MiAaPQ |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240729123259.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cnu|||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240724s2015 xx o ||||0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118735930 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781118735817 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (MiAaPQ)EBC1895568 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (Au-PeEL)EBL1895568 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaPaEBR)ebr11048192 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaONFJC)MIL770212 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)900684533 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MiAaPQ |
| Language of cataloging | eng |
| Description conventions | rda |
| -- | pn |
| Transcribing agency | MiAaPQ |
| Modifying agency | MiAaPQ |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG173 -- .C436 2015eb |
| 082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 338.5 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Chan, Ngai Hang. |
| 245 10 - TITLE STATEMENT | |
| Title | Simulation Techniques in Financial Risk Management. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 2nd ed. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Somerset : |
| Name of producer, publisher, distributor, manufacturer | John Wiley & Sons, Incorporated, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2015. |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Date of production, publication, distribution, manufacture, or copyright notice | ©2015. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (228 pages) |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Statistics in Practice Series |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Cover -- Title Page -- Copyright -- Dedication -- Contents -- List of Figures -- List of Tables -- Preface -- Chapter 1 Preliminaries of VBA -- 1.1 Introduction -- 1.2 Basis Excel VBA -- 1.2.1 Developer Mode and Security Level -- 1.2.2 Visual Basic Editor -- 1.2.3 The Macro Recorder -- 1.2.4 Setting Up a Command Button -- 1.3 VBA Programming Fundamentals -- 1.3.1 Declaration of Variables -- 1.3.2 Types of Variables -- 1.3.3 Declaration of Multivariable -- 1.3.4 Declaration of Constants -- 1.3.5 Operators -- 1.3.6 User-Defined Data Types -- 1.3.7 Arrays and Matrices -- 1.3.8 Data Input and Output -- 1.3.9 Conditional Statements -- 1.3.10 Loops -- 1.3.11 Sub Procedures and Function Procedures -- 1.3.12 VBA's Built-In Functions -- Chapter 2 Basic Properties of Futures and Options -- 2.1 Introduction -- 2.1.1 Arbitrage and Hedging -- 2.1.2 Forward Contracts -- 2.1.3 Futures Contracts -- 2.2 Options -- 2.3 Exercises -- Chapter 3 Introduction to Simulation -- 3.1 Questions -- 3.2 Simulation -- 3.3 Examples -- 3.3.1 Quadrature -- 3.3.2 Monte Carlo -- 3.4 Stochastic Simulations -- 3.5 Exercises -- Chapter 4 Brownian Motions and Itô's Rule -- 4.1 Introduction -- 4.2 Wiener and Itô's Processes -- 4.3 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 -- 6.5.1 Inverse Transform -- 6.5.2 The Rejection Method -- 6.5.3 Multivariate Normal -- 6.6 Exercises -- Chapter 7 Standard Simulations in Risk Management -- 7.1 Introduction -- 7.2 Scenario Analysis -- 7.2.1 Value at Risk. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 7.2.2 Heavy-Tailed Distribution -- 7.2.3 Case Study: VaR of Dow Jones -- 7.3 Standard Monte Carlo -- 7.3.1 Mean, Variance, and Interval Estimation -- 7.3.2 Simulating Option Prices -- 7.3.3 Simulating Option Delta -- 7.4 Exercises -- 7.5 Appendix -- Chapter 8 Variance Reduction Techniques -- 8.1 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 -- 9.5.1 Simulation: Least Squares Approach -- 9.5.2 Analyzing the Least Squares Approach -- 9.5.3 American Style Path Dependent Options -- 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 Prices -- 11.3 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 -- 12.4.1 Gibbs Sampling -- 12.4.2 Case Study: The Effect of Jumps on Dow Jones -- 12.5 Metropolis--Hastings Algorithm -- 12.6 Exercises -- References -- Index -- Wiley Series in Statistics in Practice -- EULA. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Praise for the First Edition "…a nice, self-contained introduction to simulation and computational techniques in finance…" - Mathematical Reviews Simulation Techniques in Financial Risk Management, Second Edition takes a unique approach to the field of simulations by focusing on techniques necessary in the fields of finance and risk management. Thoroughly updated, the new edition expands on several key topics in these areas and presents many of the recent innovations in simulations and risk management, such as advanced option pricing models beyond the Black-Scholes paradigm, interest rate models, MCMC methods including stochastic volatility models simulations, model assets and model-free properties, jump diffusion, and state space modeling. The Second Edition also features: Updates to primary software used throughout the book, Microsoft Office® Excel® VBA New topical coverage on multiple assets, model-free properties, and related models More than 300 exercises at the end of each chapter, with select answers in the appendix, to help readers apply new concepts and test their understanding Extensive use of examples to illustrate how to use simulation techniques in risk management Practical case studies, such as the pricing of exotic options; simulations of Greeks in hedging; and the use of Bayesian ideas to assess the impact of jumps, so readers can reproduce the results of the studies A related website with additional solutions to problems within the book as well as Excel VBA and S-Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management, Second Edition is an invaluable resource for risk managers in the financial and actuarial industries as well as a useful reference for readers interested in learning how to better gauge risk and make more informed decisions. The book is also ideal |
| 520 8# - SUMMARY, ETC. | |
| Summary, etc. | for upper-undergraduate and graduate-level courses in simulation and risk management. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on publisher supplied metadata and other sources. |
| 590 ## - LOCAL NOTE (RLIN) | |
| Local note | Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance -- Simulation methods. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Risk management -- Simulation methods. |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Wong, Hoi Ying. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Chan, Ngai Hang. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Wong, Hoi-Ying. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Chan, Ngai Hang |
| Title | Simulation Techniques in Financial Risk Management |
| Place, publisher, and date of publication | Somerset : John Wiley & Sons, Incorporated,c2015 |
| International Standard Book Number | 9781118735817 |
| 797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN) | |
| Corporate name or jurisdiction name as entry element | ProQuest (Firm) |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Statistics in Practice Series |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=1895568">https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=1895568</a> |
| Public note | Click to View |
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