Simulation Techniques in Financial Risk Management

DOI10.1002/0471789496MaRDI QIDQ5479633zbMATH OpenOpenAlexFDO

Authors Ngai Hang Chan, Hoi Ying Wong

Publication date 10 July 2006

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

zbMATH Keywords

Black-Scholes modelMarkov chain Monte Carlooption pricingrandom number generationscenario analysisvariance reduction techniques

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Bayesian inference (62F15) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Simulation Techniques in Financial Risk Management
• Handbook of financial risk management. Simulations and case studies
• Risk management and simulation
• scientific article; zbMATH DE number 5865552
• Handbook in Monte Carlo simulation. Applications in financial engineering, risk management, and economics

Cited in

(5)

• Handbook of financial risk management. Simulations and case studies
• Risk management and simulation
• Simulation Techniques in Financial Risk Management
• Banking systems simulation. Theory, practice, and application of modeling shocks, losses, and contagion
• Control variate method for stationary processes

Describes a project that uses

Uses Software

• Visual Basic
• FinTS

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