Simulating Security Returns: A Filtered Historical Simulation Approach

Edited by Giovanni Barone Adesi

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2014
ISBN: 978-1-137-46555-9
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Chapters in this book:

Ch 1 Introduction: Simulating Security Returns

Giovanni Barone Adesi

Ch 2 VaR without Correlations for Portfolios of Derivative Securities

Giovanni Barone Adesi, Kostas Giannopoulos and Les Vosper

Ch 3 Backtesting Derivative Portfolios with FHS

Giovanni Barone Adesi, Kostas Giannopoulos and Les Vosper

Ch 4 A GARCH Option Pricing Model with Filtered Historical Simulation

Giovanni Barone Adesi, Robert Engle and Loriano Mancini

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Persistent link: https://EconPapers.repec.org/RePEc:pal:palbok:978-1-137-46555-9

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DOI: 10.1057/9781137465559

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