| Document Type
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BL
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| Record Number
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725147
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| Doc. No
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b544866
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| Main Entry
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G Barone Adesi
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| Title & Author
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Simulating Security Returns : : a Filtered Historical Simulation Approach.\ G Barone Adesi
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| Publication Statement
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New York: Palgrave Macmillan US, 2014
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| Series Statement
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Palgrave pivot.
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| Page. NO
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(124 pages).
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| ISBN
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1137465557
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: 1349499579
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: 9781137465559
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: 9781349499571
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| Contents
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Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; Acknowledgments; List of Contributors; 1 Introduction: Simulating Security Returns; 2 VaR without Correlations for Portfolios of Derivative Securities; 3 Backtesting Derivative Portfolios with FHS; 4 A GARCH Option Pricing Model with Filtered Historical Simulation; Index.
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| Abstract
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Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns.
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| Subject
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Finance.
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| Subject
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Investment banking.
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| Subject
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Securities.
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| LC Classification
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HG6024.A3G337 2014
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| Added Entry
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G Barone Adesi
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Giovanni Barone Adesi
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