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Simulating Security Returns

A Filtered Historical Simulation Approach

Authors: Barone Adesi, Giovanni

Editors: Barone-Adesi, Giovanni G. (Ed.)

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eBook $54.99
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  • ISBN 978-1-137-46555-9
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Hardcover $70.00
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Softcover $67.50
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  • ISBN 978-1-349-49957-1
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  • This title is currently reprinting. You can pre-order your copy now.
About this book

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.

About the authors

Robert Engle, New York University, USA Kostas Giannopoulos, Neapolis University, Cyprus Loriano Mancini, École polytechnique fédérale de Lausanne, Switzerland Les Vosper, unaffiliated, UK

Table of contents (4 chapters)

  • Introduction: Simulating Security Returns

    Adesi, Giovanni Barone

    Pages 1-8

  • VaR without Correlations for Portfolios of Derivative Securities

    Adesi, Giovanni Barone (et al.)

    Pages 9-29

  • Backtesting Derivative Portfolios with FHS

    Adesi, Giovanni Barone (et al.)

    Pages 30-65

  • A GARCH Option Pricing Model with Filtered Historical Simulation

    Adesi, Giovanni Barone (et al.)

    Pages 66-108

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-1-137-46555-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $70.00
price for USA
  • ISBN 978-1-137-46554-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $67.50
price for USA
  • ISBN 978-1-349-49957-1
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.
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Bibliographic Information

Bibliographic Information
Book Title
Simulating Security Returns
Book Subtitle
A Filtered Historical Simulation Approach
Authors
Editors
  • Giovanni G. Barone-Adesi
Copyright
2014
Publisher
Palgrave Macmillan US
Copyright Holder
Palgrave Macmillan, a division of Nature America Inc.
eBook ISBN
978-1-137-46555-9
DOI
10.1057/9781137465559
Hardcover ISBN
978-1-137-46554-2
Softcover ISBN
978-1-349-49957-1
Edition Number
1
Number of Pages
XII, 111
Topics