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Author: Aparna Gupta
Publisher: CRC Press
Published: 2016-04-19
Total Pages: 518
ISBN-13: 1439835950
DOWNLOAD EBOOK →The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk managemen
Author: Ngai Hang Chan
Publisher: John Wiley & Sons
Published: 2015-04-13
Total Pages: 228
ISBN-13: 1118735935
DOWNLOAD EBOOK →Praise for the First 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 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 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 within the book as well as Excel VBA and S-Plus computer code for many of the examples within the book 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.
Author: Michael Rees
Publisher: John Wiley & Sons
Published: 2015-08-03
Total Pages: 464
ISBN-13: 1118904036
DOWNLOAD EBOOK →The complete guide to the principles and practice of risk quantification for business applications. The assessment and quantification of risk provide an indispensable part of robust decision-making; to be effective, many professionals need a firm grasp of both the fundamental concepts and of the tools of the trade. Business Risk and Simulation Modelling in Practice is a comprehensive, in–depth, and practical guide that aims to help business risk managers, modelling analysts and general management to understand, conduct and use quantitative risk assessment and uncertainty modelling in their own situations. Key content areas include: Detailed descriptions of risk assessment processes, their objectives and uses, possible approaches to risk quantification, and their associated decision-benefits and organisational challenges. Principles and techniques in the design of risk models, including the similarities and differences with traditional financial models, and the enhancements that risk modelling can provide. In depth coverage of the principles and concepts in simulation methods, the statistical measurement of risk, the use and selection of probability distributions, the creation of dependency relationships, the alignment of risk modelling activities with general risk assessment processes, and a range of Excel modelling techniques. The implementation of simulation techniques using both Excel/VBA macros and the @RISK Excel add-in. Each platform may be appropriate depending on the context, whereas the core modelling concepts and risk assessment contexts are largely the same in each case. Some additional features and key benefits of using @RISK are also covered. Business Risk and Simulation Modelling in Practice reflects the author′s many years in training and consultancy in these areas. It provides clear and complete guidance, enhanced with an expert perspective. It uses approximately one hundred practical and real-life models to demonstrate all key concepts and techniques; these are accessible on the companion website.
Author: Paolo Brandimarte
Publisher: John Wiley & Sons
Published: 2014-06-20
Total Pages: 688
ISBN-13: 1118594517
DOWNLOAD EBOOK →An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.
Author: James Robert Evans
Publisher:
Published: 2002
Total Pages: 416
ISBN-13:
DOWNLOAD EBOOK →Simulation fundamentals : Introduction to Simulation - Simulation Using Excel - Probability and Statistics in Simulation - Simulation in risk analysis : Risk Analysis Using Crystal Ball - Applications of Risk Analysis - Building System Simulation Models - Systems simulation : Output Analysis and Experimentation for Systems Simulation - Systems Simulation Using ProcessModel - Applications of Systems Simulation - Extensions of simulation : Simulation in Forecasting and Optimization.
Author: Yacov Y. Haimes
Publisher: John Wiley & Sons
Published: 2011-09-20
Total Pages: 810
ISBN-13: 1118210921
DOWNLOAD EBOOK →Examines timely multidisciplinary applications, problems, and case histories in risk modeling, assessment, and management Risk Modeling, Assessment, and Management, Third Edition describes the state of the art of risk analysis, a rapidly growing field with important applications in engineering, science, manufacturing, business, homeland security, management, and public policy. Unlike any other text on the subject, this definitive work applies the art and science of risk analysis to current and emergent engineering and socioeconomic problems. It clearly demonstrates how to quantify risk and construct probabilities for real-world decision-making problems, including a host of institutional, organizational, and political issues. Avoiding higher mathematics whenever possible, this important new edition presents basic concepts as well as advanced material. It incorporates numerous examples and case studies to illustrate the analytical methods under discussion and features restructured and updated chapters, as well as: A new chapter applying systems-driven and risk-based analysis to a variety of Homeland Security issues An accompanying FTP site—developed with Professor Joost Santos—that offers 150 example problems with an Instructor's Solution Manual and case studies from a variety of journals Case studies on the 9/11 attack and Hurricane Katrina An adaptive multiplayer Hierarchical Holographic Modeling (HHM) game added to Chapter Three This is an indispensable resource for academic, industry, and government professionals in such diverse areas as homeland and cyber security, healthcare, the environment, physical infrastructure systems, engineering, business, and more. It is also a valuable textbook for both undergraduate and graduate students in systems engineering and systems management courses with a focus on our uncertain world.
Author: Johnathan Mun
Publisher: John Wiley & Sons
Published: 2006-07-21
Total Pages: 626
ISBN-13: 0470009772
DOWNLOAD EBOOK →This completely revised and updated edition of Applied Risk Analysis includes new case studies in modeling risk and uncertainty as well as a new risk analysis CD-ROM prepared by Dr. Mun. On the CD-ROM you'll find his Risk Simulator and Real Options Super Lattice Solver software as well as many useful spreadsheet models. "Johnathan Mun's book is a sparkling jewel in my finance library. Mun demonstrates a deep understanding of the underlying mathematical theory in his ability to reduce complex concepts to lucid explanations and applications. For this reason, he's my favorite writer in this field." —Janet Tavakoli, President, Tavakoli Structured Finance, Inc. and author of Collateralized Debt Obligations and Structured Finance "A must-read for product portfolio managers . . . it captures the risk exposure of strategic investments, and provides management with estimates of potential outcomes and options for risk mitigation." —Rafael E. Gutierrez, Executive Director of Strategic Marketing and Planning, Seagate Technology, Inc. "Once again, Dr. Mun has created a 'must-have, must-read' book for anyone interested in the practical application of risk analysis. Other books speak in academic generalities, or focus on one area of risk application. [This book] gets to the heart of the matter with applications for every area of risk analysis. You have a real option to buy almost any book?you should exercise your option and get this one!" —Glenn Kautt, MBA, CFP, EA, President and Chairman, The Monitor Group, Inc. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Author: Frank J. Fabozzi, CFA
Publisher: John Wiley & Sons
Published: 1997-01-15
Total Pages: 408
ISBN-13: 9781883249175
DOWNLOAD EBOOK →Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.
Author: Tony UcedaVelez
Publisher: John Wiley & Sons
Published: 2015-05-26
Total Pages: 692
ISBN-13: 0470500964
DOWNLOAD EBOOK →This book introduces the Process for Attack Simulation & Threat Analysis (PASTA) threat modeling methodology. It provides an introduction to various types of application threat modeling and introduces a risk-centric methodology aimed at applying security countermeasures that are commensurate to the possible impact that could be sustained from defined threat models, vulnerabilities, weaknesses, and attack patterns. This book describes how to apply application threat modeling as an advanced preventive form of security. The authors discuss the methodologies, tools, and case studies of successful application threat modeling techniques. Chapter 1 provides an overview of threat modeling, while Chapter 2 describes the objectives and benefits of threat modeling. Chapter 3 focuses on existing threat modeling approaches, and Chapter 4 discusses integrating threat modeling within the different types of Software Development Lifecycles (SDLCs). Threat modeling and risk management is the focus of Chapter 5. Chapter 6 and Chapter 7 examine Process for Attack Simulation and Threat Analysis (PASTA). Finally, Chapter 8 shows how to use the PASTA risk-centric threat modeling process to analyze the risks of specific threat agents targeting web applications. This chapter focuses specifically on the web application assets that include customer’s confidential data and business critical functionality that the web application provides. • Provides a detailed walkthrough of the PASTA methodology alongside software development activities, normally conducted via a standard SDLC process • Offers precise steps to take when combating threats to businesses • Examines real-life data breach incidents and lessons for risk management Risk Centric Threat Modeling: Process for Attack Simulation and Threat Analysis is a resource for software developers, architects, technical risk managers, and seasoned security professionals.
Author: Claudio Franzetti
Publisher: CRC Press
Published: 2016-04-19
Total Pages: 406
ISBN-13: 1439844771
DOWNLOAD EBOOK →Taking into account the standards of the Basel Accord, Operational Risk Modelling and Management presents a simulation model for generating the loss distribution of operational risk. It also examines a multitude of management issues that must be considered when adjusting the quantitative results of a comprehensive model.The book emphasizes techniqu
