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The Resource Simulating security returns : a filtered historical simulation approach, Giovanni Barone- Adesi, (electronic book)

Simulating security returns : a filtered historical simulation approach, Giovanni Barone- Adesi, (electronic book)

Label
Simulating security returns : a filtered historical simulation approach
Title
Simulating security returns
Title remainder
a filtered historical simulation approach
Statement of responsibility
Giovanni Barone- Adesi
Creator
Author
Subject
Language
eng
Summary
Simulating Security Returns uses the FHS approach to help simulate the returns of large portfolios of securities.
Cataloging source
UK-WkNB
http://library.link/vocab/creatorName
Adesi, Giovanni Barone
Illustrations
illustrations
Index
index present
LC call number
HG4515.2
Literary form
non fiction
http://library.link/vocab/subjectName
  • Investment analysis
  • Investments
Summary expansion
Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted in the academic community. Simulating Security Returns is a useful guide for researchers, students, and practitioners. It uses the FHS approach to help simulate the returns of large portfolios of securities. While other simulation methods use the covariance matrix of security returns, which suffers the curse of dimensionality even for modest portfolios, Barone Adesi demonstrates how FHS can accurately adjust to current market conditions
Label
Simulating security returns : a filtered historical simulation approach, Giovanni Barone- Adesi, (electronic book)
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
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
Control code
9781137465559
Extent
xi, 111 p.
Form of item
electronic
Governing access note
Users can print and/or download individual articles/chapters and other individual items from Palgrave Connect ebooks, limited to no more than one chapter per title per authorised user
Isbn
9781137465566
Other physical details
ill.
Specific material designation
unspecified
Type of computer file
PDF.
Label
Simulating security returns : a filtered historical simulation approach, Giovanni Barone- Adesi, (electronic book)
Publication
Bibliography note
Includes bibliographical references and index
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
Control code
9781137465559
Extent
xi, 111 p.
Form of item
electronic
Governing access note
Users can print and/or download individual articles/chapters and other individual items from Palgrave Connect ebooks, limited to no more than one chapter per title per authorised user
Isbn
9781137465566
Other physical details
ill.
Specific material designation
unspecified
Type of computer file
PDF.

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