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Adesi, Giovanni Barone

Simulating Security Returns: A Filtered Historical Simulation Approach

Adesi, Giovanni Barone - Simulating Security Returns: A Filtered Historical Simulation Approach, ebook

82,95€

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ISBN: 9781137465559
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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
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

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