Simulation Techniques in Financial Risk Management
Publication:5479633
DOI10.1002/0471789496zbMath1096.60001OpenAlexW2480483578MaRDI QIDQ5479633
Publication date: 10 July 2006
Full work available at URL: https://doi.org/10.1002/0471789496
option pricingMarkov chain Monte CarloBlack-Scholes modelrandom number generationvariance reduction techniquesscenario analysis
Numerical methods (including Monte Carlo methods) (91G60) Bayesian inference (62F15) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Numerical analysis or methods applied to Markov chains (65C40) Random number generation in numerical analysis (65C10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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