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 VBAs 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 Itôs Rule 41
4.1 Introduction 41
4.2 Wiener and Itôs Processes 41
4.3 Stock Price 46
4.4 Itôs Formula 47
4.5 Exercises 54
5 BlackScholes Model and Option Pricing 57
5.1 Introduction 57
5.2 One Period Binomial Model 58
5.3 The BlackScholesMerton Equation 61
5.4 BlackScholes 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 HullWhite 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 MetropolisHastings Algorithm 188
12.6 Exercises 196
References 199
Index 203
Praise for theFirst Edition
a nice, self-contained introduction to simulation and computational techniques in finance
Mathematical Reviews
Simulation 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 BlackScholes paradigm, interest rate models, MCMC methods including stochastic volatility models simulations, model assets and model-free properties, jump diffusion, and state space modeling. TheSecond Edition also features:
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 ideal for upper-undergraduate and graduate-level courses in simulation and risk management.
Schlagwörter zu:
Simulation Techniques in Financial Risk Management von Ngai Hang Chan - mit der ISBN: 9781118735930
Engineering Statistics; Finance & Investments; Financial Engineering; Finanz- u. Anlagewesen; Finanz- u. Wirtschaftsstatistik; Finanztechnik; Risikomanagement; Statistics; Statistics for Finance, Business & Economics; Statistik; Statistik in den Ingenieurwissenschaften, Online-Buchhandlung
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