Simulation Techniques in Financial Risk Management (Statistics in Practice)
By Ngai Hang Chan, Hoi-Ying Wong
Publisher: Wiley-Interscience
Number Of Pages: 240
Publication Date: 2006-04-12
ISBN-10 / ASIN: 0471469874
ISBN-13 / EAN: 9780471469872
Binding: Hardcover
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.
Simulation Techniques in Financial Risk Management is invaluable both as a resource for risk managers in the financial and actuarial industries and as a coursebook for upper-level undergraduate and graduate courses in simulation and risk management.

Summary: Bypass this one+ R,
Rating: 18
The book claims to be between Ross's "Simulation" and Glasserman's "Monte Carlo Methods in Financial Engineering" (both first-class books). Would that the same could be said of this sorry-looking text. I will be charitable and descibe it as watered-down Glasserman with some S-Plus code thrown in for good measure, and some material nicked from Ross. Wiley should be more careful about what it accepts for publication.

[此贴子已经被wesker1999于2008-4-28 17:39:59编辑过]