金融工学におけるシミュレーション(<小特集>モンテカルロシミュレーション)  [in Japanese] Simulation m Financial Engineering (<Special Features> Monte Carlo Simulation)  [in Japanese]

Abstract

As examples of simulation in financial engineering, we introduce the valuation and the risk management of financial instruments in this paper. Here we illustrate how to evaluate financial instruments using American put options. As to the risk management, we first briefly touch on VaR and then discuss some copulas and some variance-covariance matrix factoring methods.

Journal

Journal of the Japan Society for Simulation Technology   [List of Volumes]

Journal of the Japan Society for Simulation Technology 22(4), 254-260, 2003-12-15  [Table of Contents]

Japan Society for Simmulation Technology

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Codes

  • NII Article ID (NAID) :
    110003891042
  • NII NACSIS-CAT ID (NCID) :
    AN00329524
  • Text Lang :
    JPN
  • Article Type :
    特集
  • ISSN :
    02859947
  • NDL Article ID :
    6807567
  • NDL Source Classification :
    ZM13(科学技術--科学技術一般--データ処理・計算機)
  • NDL Call No. :
    Z14-893
  • Databases :
    NDL  NII-ELS