Simulation Techniques in Financial Risk Management

DOI10.1002/0471789496zbMath1096.60001MaRDI QIDQ5479633

Ngai Hang Chan, Hoi Ying Wong

Publication date: 10 July 2006

Full work available at URL: https://doi.org/10.1002/0471789496

zbMATH Keywords

option pricing; Markov chain Monte Carlo; Black-Scholes model; random number generation; variance reduction techniques; scenario analysis

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

62F15: Bayesian inference

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory

65C40: Numerical analysis or methods applied to Markov chains

65C10: Random number generation in numerical analysis

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Uses Software

• Visual Basic
• FinTS