Praise for the First Edition a nice, self–contained introduction to simulation and computational techniques in finance – Mathematical ReviewsSimulation Techniques in Financial Risk Management, Second Edition takes a unique approach to the field of simulations by focusing on techniques necessary in the fields of finance and risk management. Thoroughly updated, the new edition expands on several key topics in these areas and presents many of the recent innovations in simulations and risk management, such as advanced option pricing models beyond the Black–Scholes paradigm, interest rate models, MCMC methods including stochastic volatility models simulations, model assets and model–free properties, jump diffusion, and state space modeling. The Second Edition features also features: Updates to primary software used throughout the book, Microsoft Office® Excel® VBA New topical coverage on multiple assets, model–free properties, and related models More than 300 exercises at the end of each chapter, with select answers in the appendix, to help readers apply new concepts and test their understanding Extensive use of examples to illustrate how to use simulation techniques in risk management Practical case studies, such as the pricing of exotic options; simulations of Greeks in hedging; and the use of Bayesian ideas to assess the impact of jumps, so readers can reproduce the results of the studies A related website with additional solutions to problems in the text, and Excel VBA and S–Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management, Second Edition is an invaluable resource for risk managers in the financial and actuarial industries as well as a useful reference for readers interested in learning how to better gauge risk and make more informed decisions. The book is also an excellent textbook for upper–undergraduate and graduate–level courses in simulation and risk management. INDICE: List of Figures xi.List of Tables xiii.Preface xv.1 Preliminaries of VBA 1.1.1 Introduction, 1.1.2 Basis Excel VBA, 1.1.2.1 Developer Mode and Security Level, 2.1.2.2 Visual Basic Editor, 2.1.2.3 The Macro Recorder, 5.1.2.4 Setting Up a Command Button, 6.1.3 VBA Programming Fundamentals, 8.1.3.1 Declaration of Variables, 8.1.3.2 Types of Variables, 8.1.3.3 Declaration of Multivariable, 9.1.3.4 Declaration of Constants, 9.1.3.5 Operators, 9.1.3.6 User–Defined Data Types, 10.1.3.7 Arrays and Matrices, 11.1.3.8 Data Input and Output, 12.1.3.9 Conditional Statements, 12.1.3.10 Loops, 13.1.3.11 Sub Procedures and Function Procedures, 15.1.3.12 VBA s Built–In Functions, 18.2 Basic Properties of Futures and Options 19.2.1 Introduction, 19.2.1.1 Arbitrage and Hedging, 19.2.1.2 Forward Contracts, 20.2.1.3 Futures Contracts, 23.2.2 Options, 26.2.3 Exercises, 31.3 Introduction to Simulation 35.3.1 Questions, 35.3.2 Simulation, 35.3.3 Examples, 36.3.3.1 Quadrature, 36.3.3.2 Monte Carlo, 37.3.4 Stochastic Simulations, 38.3.5 Exercises, 40.4 Brownian Motions and Itô s Rule 41.4.1 Introduction, 41.4.2 Wiener and Itô s Processes, 41.4.3 Stock Price, 46.4.4 Itô s Formula, 47.4.5 Exercises, 54.5 Black Scholes Model and Option Pricing 57.5.1 Introduction, 57.5.2 One Period Binomial Model, 58.5.3 The Black Scholes Merton Equation, 61.5.4 Black Scholes Formula, 67.5.5 Exercises, 72.6 Generating Random Variables 75.6.1 Introduction, 75.6.2 Random Numbers, 75.6.3 Discrete Random Variables, 76.6.4 Acceptance–Rejection Method, 78.6.5 Continuous Random Variables, 79.6.5.1 Inverse Transform, 80.6.5.2 The Rejection Method, 81.6.5.3 Multivariate Normal, 83.6.6 Exercises, 87.7 Standard Simulations in Risk Management 89.7.1 Introduction, 89.7.2 Scenario Analysis, 89.7.2.1 Value at Risk, 91.7.2.2 Heavy–Tailed Distribution, 92.7.2.3 Case Study: VaR of Dow Jones, 94.7.3 Standard Monte Carlo, 96.7.3.1 Mean, Variance, and Interval Estimation, 97.7.3.2 Simulating Option Prices, 99.7.3.3 Simulating Option Delta, 102.7.4 Exercises, 104.7.5 Appendix, 105.8 Variance Reduction Techniques 107.8.1 Introduction, 107.8.2 Antithetic Variables, 107.8.3 Stratified Sampling, 112.8.4 Control Variates, 120.8.5 Importance Sampling, 125.8.6 Exercises, 131.9 Path Dependent Options 133.9.1 Introduction, 133.9.2 Barrier Option, 133.9.3 Lookback Option, 135.9.4 Asian Option, 136.9.5 American Option, 138.9.5.1 Simulation: Least Squares Approach, 138.9.5.2 Analyzing the Least Squares Approach, 141.9.5.3 American Style Path Dependent Options, 144.9.6 Greek Letters, 145.9.7 Exercises, 148.10 Multiasset Options 151.10.1 Introduction, 151.10.2 Simulating European Multiasset Options, 152.10.3 Case Study: On Estimating Basket Options, 153.10.4 Dimension Reduction, 155.10.5 Exercises, 158.11 Interest Rate Models 161.11.1 Introduction, 161.11.2 Discount Factor and Bond Prices, 161.11.3 Stochastic Interest Rate Models and Their Simulations, 165.11.4 Hull White Model, 167.11.5 Fixed Income Derivatives Pricing, 171.11.6 Exercises, 174.12 Markov Chain Monte Carlo Methods 177.12.1 Introduction, 177.12.2 Bayesian Inference, 177.12.3 Simulating Posteriors, 179.12.4 Markov Chain Monte Carlo, 180.12.4.1 Gibbs Sampling, 180.12.4.2 Case Study: The Effect of Jumps on Dow Jones, 183.12.5 Metropolis Hastings Algorithm, 188.12.6 Exercises, 196.References 199.Index 203
- ISBN: 978-1-118-73581-7
- Editorial: Wiley–Blackwell
- Encuadernacion: Cartoné
- Páginas: 224
- Fecha Publicación: 09/07/2015
- Nº Volúmenes: 1
- Idioma: Inglés