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Simulating Security Returns

A Filtered Historical Simulation Approach

  • Book
  • © 2014

Overview

Editors:
  1. Giovanni Barone Adesi

    1. University of Italian Switzerland, Switzerland

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Table of contents (4 chapters)

  1. Front Matter

    Pages i-xii
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  2. Introduction: Simulating Security Returns

    • Giovanni Barone Adesi
    Pages 1-8

  3. VaR without Correlations for Portfolios of Derivative Securities

    • Giovanni Barone Adesi, Kostas Giannopoulos, Les Vosper
    Pages 9-29

  4. Backtesting Derivative Portfolios with FHS

    • Giovanni Barone Adesi, Kostas Giannopoulos, Les Vosper
    Pages 30-65

  5. A GARCH Option Pricing Model with Filtered Historical Simulation

    • Giovanni Barone Adesi, Robert F. Engle, Loriano Mancini
    Pages 66-108

  6. Back Matter

    Pages 109-111
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Keywords

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.

Editors and Affiliations

  • University of Italian Switzerland, Switzerland

    Giovanni Barone Adesi

About the editor

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

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