Simulation Techniques in Financial Risk Management
DOI10.1002/9781118735954zbMath1409.91001OpenAlexW2494788988MaRDI QIDQ5253279
Publication date: 4 June 2015
Full work available at URL: https://doi.org/10.1002/9781118735954
option pricingMarkov chain Monte CarloMonte Carlo simulationsBlack-Scholes modelrandom number generationinterest rate modelsvariance reduction techniques
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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