Simulation Techniques in Financial Risk Management
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Beschreibung
This unique resource provides simulation techniques for financialrisk managers ensuring you become well versed in many recentinnovations, including Gibbs sampling, the use of heavy-taileddistributions in VaR calculations, construction of volatilitysmile, and state space modeling. The authors illustrate keyconcepts with examples and case studies you can reproduce usingeither S-PLUS® or Visual Basic® and provide exercises soyou can apply new concepts and test your knowledge.
Simulation Techniques in Financial Risk Management isinvaluable both as a resource for risk managers in the financialand actuarial industries and as a coursebook for upper-levelundergraduate and graduate courses in simulation and riskmanagement.
Autor*in
Ngai Hang Chan
Themen in »Simulation Techniques in Financial Risk Management«
Engineering Statistics Finance & Investments Financial Engineering Finanz- u. Anlagewesen Finanz- u. Wirtschaftsstatistik Finanztechnik Statistics Statistics for Finance, Business & Economics Statistik Statistik in den Ingenieurwissenschaften
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"...a wonderful book and strongly recommended for practitionersin the field." (Technometrics, May 2007)
"...a nice, self-contained introduction to simulation andcomputational techniques in finance...interesting forpractitioners...a valuable source for graduate courses..."(Mathematical Reviews, 2007c)
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