Simulation Techniques in Financial Risk Management - Couverture rigide

Chan, Ngai Hang; Wong, Hoi-Ying

Couverture rigide

ISBN 10 : 0471469874 ISBN 13 : 9780471469872

Editeur : John Wiley & Sons Inc, 2006

Synopsis

This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs sampling, the use of heavy-tailed distributions in VaR calculations, construction of volatility smile, and state space modeling. The authors illustrate key concepts with examples and case studies you can reproduce using either S-PLUS(r) or Visual Basic(r) and provide exercises so you can apply new concepts and test your knowledge. Simulation Techniques in Financial Risk Management is invaluable both as a resource for risk managers in the financial and actuarial industries and as a coursebook for upper-level undergraduate and graduate courses in simulation and risk management.

A propos du livre

À propos de l?auteur

NGAI HANG CHAN, PhD, is Chairman and Professor of Statistics of the Department of Statistics at The Chinese University of Hong Kong where he was formerly Director of the Risk Management Science Program. He is an elected Fellow of the Institute of Mathematical Statistics, the author of Time Series: Applications to Finance (Wiley), and is also the associate editor of six journals. His research interests include statistical finance, risk management, time series, econometrics, and stochastic modeling. HOI-YING WONG, PhD, is Assistant Professor in the Risk Management Science Program of the Department of Statistics at The Chinese University of Hong Kong. His research interests include derivatives pricing, interest rate modeling, financial risk management, and statistical finance.

Détails de l'édition

• Éditeur: John Wiley & Sons Inc
• Date d'édition: 2006
• Langue: anglais
• ISBN 10: 0471469874
• ISBN 13: 9780471469872
• Reliure: Relié
• Nombre de pages: 240
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible