Simulation Techniques in Financial Risk Manaagement
Company: Wiley
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: April
Resource Link: Click here to open
Pages: 240
Download Count: 0
View Count: 1510
Comment Num: 0
Language: English
Source: book
Who Can Read: Free
Date: 3-31-2011
Publisher: Administrator
Summary
This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs sampling, the use of heavy-tailed distributions in VaR calculations, construction of volatility smile, and state space modeling. The authors illustrate key concepts with examples and case studies you can reproduce using either S-PLUS or Visual Basic and provide exercises so you can apply new concepts and test your knowledge.
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