Simulation Techniques in Financial Risk Management by Ngai Hang Chan
English | 30 May 2006 | ISBN: 0471469874 | 230 Pages | PDF | 8 MB
English | 30 May 2006 | ISBN: 0471469874 | 230 Pages | PDF | 8 MB
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.