Handbook of simulation and financial risk management simulations and case studies /
Chan, Ngai Hang.
Handbook of simulation and financial risk management simulations and case studies / Ngai Hang Chan, Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong, Hoi Ying Wong, Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong. - xv, 412 pages : illustrations ; 24 cm
Includes bibliographical references (pages 401-404) and indexes.
List of figures -- List of tables -- Preface -- An introduction to excel vba -- Background -- Structured products -- Volatility modeling -- Fixed-income derivatives I : short-rate models -- Fixed-income derivatives II : libor market models -- Credit derivatives and counterparty credit risk -- Value-at-risk and related risk measures -- The Greeks -- Appendix -- References -- Subject index -- Author index.
This authoritative handbook illustrates practical implementation of simulation techniques in the banking and financial industries through use of real-world, time-sensitive applications.
9780470647158 (cloth)
2013001309
Finance--Simulation methods.
Risk management--Simulation methods.
HG173 / .C4695 2013
332.64'50113
Handbook of simulation and financial risk management simulations and case studies / Ngai Hang Chan, Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong, Hoi Ying Wong, Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong. - xv, 412 pages : illustrations ; 24 cm
Includes bibliographical references (pages 401-404) and indexes.
List of figures -- List of tables -- Preface -- An introduction to excel vba -- Background -- Structured products -- Volatility modeling -- Fixed-income derivatives I : short-rate models -- Fixed-income derivatives II : libor market models -- Credit derivatives and counterparty credit risk -- Value-at-risk and related risk measures -- The Greeks -- Appendix -- References -- Subject index -- Author index.
This authoritative handbook illustrates practical implementation of simulation techniques in the banking and financial industries through use of real-world, time-sensitive applications.
9780470647158 (cloth)
2013001309
Finance--Simulation methods.
Risk management--Simulation methods.
HG173 / .C4695 2013
332.64'50113