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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 Black-Scholes paradigm, interest rate models, MCMC methods including stochastic volatility models simulations, model assets and model-free properties, jump diffusion, and state space modeling. The Second Edition features also features:
Updates to primary software used throughout the book, Microsoft Office® Excel® VBA
New topical coverage on multiple assets, model-free properties, and related models
More than 300 exercises at the end of each chapter, with select answers in the appendix, to help readers apply new concepts and test their understanding
Extensive use of examples to illustrate how to use simulation techniques in risk management
Practical case studies, such as the pricing of exotic options; simulations of Greeks in hedging; and the use of Bayesian ideas to assess the impact of jumps, so readers can reproduce the results of the studies
A related website with additional solutions to problems in the text, and Excel VBA and S-Plus computer code for many of the examples within the book
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