Sinossi
This book introduces new Monte Carlo methods for computing Value-at-Risk(VAR) in finance. 2 major cases (i.i.d. Monte Carlo and Markov Chain Monte Carlo) are treated in this book. New i.i.d Monte Carlo technique is based on the combination of importance sampling, non-linear optimization, and newly proposed exponential twisting density. Its theoretical justification will also be given based on the Large Deviation Theory and the Laplace method. For the Markov Chain Monte Carlo, this book introduces new techniques based on Metropolis-within-Gibbs algorithm combined with Robbins-Monro algorithm from stochastic approximation theory. Its theoretical justification will be given motivated by Ergodic Theory as well. Recently (especially after the financial crisis of 2008), industry practitioners started seeking more general non-Gaussian distribution (historical simulation, etc) and Markov Chain Monte Carlo can be used to deal with such cases. Although this book deals extensively with new techniques for VaR calculation, later chapter of this book contains several examples of its application to pricing various far out of the money options/basket options/Asian options/American options.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
L'autore
Kazuhiro Iwasawa currently works as a senior financial engineer at Bloomberg LP. He also held similar positions at Royal Bank of Scotland & Resona Holdings, and has over 15 years of industry experience. He holds PhD in Mathematics from New York University (Courant Institute). His specialty is Monte Carlo Simulation & Stochastic Optimization.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
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Fast Relevant Simulation in Finance
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LAP LAMBERT Academic Publishing Okt 2011, 2011
ISBN 10: 3846522619
ISBN 13: 9783846522615
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book introduces new Monte Carlo methods for computing Value-at-Risk(VAR) in finance. 2 major cases (i.i.d. Monte Carlo and Markov Chain Monte Carlo) are treated in this book. New i.i.d Monte Carlo technique is based on the combination of importance sampling, non-linear optimization, and newly proposed exponential twisting density. Its theoretical justification will also be given based on the Large Deviation Theory and the Laplace method. For the Markov Chain Monte Carlo, this book introduces new techniques based on Metropolis-within-Gibbs algorithm combined with Robbins-Monro algorithm from stochastic approximation theory. Its theoretical justification will be given motivated by Ergodic Theory as well. Recently (especially after the financial crisis of 2008), industry practitioners started seeking more general non-Gaussian distribution (historical simulation, etc) and Markov Chain Monte Carlo can be used to deal with such cases. Although this book deals extensively with new techniques for VaR calculation, later chapter of this book contains several examples of its application to pricing various far out of the money options/basket options/Asian options/American options. 112 pp. Englisch. Codice articolo 9783846522615
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Fast Relevant Simulation in Finance
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Fast Relevant Simulation in Finance
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Iwasawa KazuhiroKazuhiro Iwasawa currently works as a senior financial engineer at Bloomberg LP. He also held similar positions at Royal Bank of Scotland & Resona Holdings, and has over 15 years of industry experience. He holds PhD i. Codice articolo 5496470
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Fast Relevant Simulation in Finance
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ISBN 10: 3846522619
ISBN 13: 9783846522615
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This book introduces new Monte Carlo methods for computing Value-at-Risk(VAR) in finance. 2 major cases (i.i.d. Monte Carlo and Markov Chain Monte Carlo) are treated in this book. New i.i.d Monte Carlo technique is based on the combination of importance sampling, non-linear optimization, and newly proposed exponential twisting density. Its theoretical justification will also be given based on the Large Deviation Theory and the Laplace method. For the Markov Chain Monte Carlo, this book introduces new techniques based on Metropolis-within-Gibbs algorithm combined with Robbins-Monro algorithm from stochastic approximation theory. Its theoretical justification will be given motivated by Ergodic Theory as well. Recently (especially after the financial crisis of 2008), industry practitioners started seeking more general non-Gaussian distribution (historical simulation, etc) and Markov Chain Monte Carlo can be used to deal with such cases. Although this book deals extensively with new techniques for VaR calculation, later chapter of this book contains several examples of its application to pricing various far out of the money options/basket options/Asian options/American options.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 112 pp. Englisch. Codice articolo 9783846522615
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Fast Relevant Simulation in Finance : Application to Risk Management (Value at Risk)
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This book introduces new Monte Carlo methods for computing Value-at-Risk(VAR) in finance. 2 major cases (i.i.d. Monte Carlo and Markov Chain Monte Carlo) are treated in this book. New i.i.d Monte Carlo technique is based on the combination of importance sampling, non-linear optimization, and newly proposed exponential twisting density. Its theoretical justification will also be given based on the Large Deviation Theory and the Laplace method. For the Markov Chain Monte Carlo, this book introduces new techniques based on Metropolis-within-Gibbs algorithm combined with Robbins-Monro algorithm from stochastic approximation theory. Its theoretical justification will be given motivated by Ergodic Theory as well. Recently (especially after the financial crisis of 2008), industry practitioners started seeking more general non-Gaussian distribution (historical simulation, etc) and Markov Chain Monte Carlo can be used to deal with such cases. Although this book deals extensively with new techniques for VaR calculation, later chapter of this book contains several examples of its application to pricing various far out of the money options/basket options/Asian options/American options. Codice articolo 9783846522615
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Fast Relevant Simulation in Finance | Application to Risk Management (Value at Risk)
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Taschenbuch. Condizione: Neu. Fast Relevant Simulation in Finance | Application to Risk Management (Value at Risk) | Kazuhiro Iwasawa | Taschenbuch | 112 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783846522615 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Codice articolo 106751533
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