Adesi, Giovanni Barone
Simulating Security Returns: A Filtered Historical Simulation Approach
Table of contents
1. Introduction: Simulating Security Returns
Giovanni Barone Adesi
2. VaR without Correlations for Portfolios of Derivative Securities
Giovanni Barone Adesi, Kostas Giannopoulos, Les Vosper
3. Backtesting Derivative Portfolios with FHS
Giovanni Barone Adesi, Kostas Giannopoulos, Les Vosper
4. A GARCH Option Pricing Model with Filtered Historical Simulation
Giovanni Barone Adesi, Robert F. Engle, Loriano Mancini
Keywords: Finance, Risk Management, Investments and Securities, Capital Markets
- Editor
- Adesi, Giovanni Barone
- Publisher
- Springer
- Publication year
- 2014
- Language
- en
- Edition
- 1
- Page amount
- 123 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9781137465559
- Printed ISBN
- 978-1-349-49957-1
