<p><br/>Simulation Techniques in Financial Risk Management (Statistics in Practice)<br/>By Ngai Hang Chan, Hoi-Ying Wong<br/>Publisher: Wiley-Interscience<br/>Number Of Pages: 240 <br/>Publication Date: 2006-04-12 <br/>ISBN-10 / ASIN: 0471469874 <br/>ISBN-13 / EAN: 9780471469872 <br/>Binding: Hardcover<br/>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.<br/>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.</p><p>Summary: Bypass this one+ R, <br/>Rating: 18 <br/>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.</p><p></p><br/>

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