Titlebook: Simulating Security Returns; A Filtered Historica Giovanni Barone Adesi (Professor) Book 2014 Palgrave Macmillan, a division of Nature Amer

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ecurity 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 t

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Book 2014turns. 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 sim

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VaR without Correlations for Portfolios of Derivative Securities,ets without restricting their values over time or computing them explicitly. VaR values for portfolios of derivative securities are obtained without linearizing them. Historical simulation assigns equal probability to past returns, neglecting current market conditions. Our methodology is a refinement of historical simulation.

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A GARCH Option Pricing Model with Filtered Historical Simulation,r different distributions of historical and pricing return dynamics, which enhances the model’s flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 Index options shows that our model outperforms other competing GARCH pricing models and ad hoc Black-Scholes model