Τεχνικές προσομοίωσης στην χρηματοοικονομική διοικητική κινδύνου
Simulation techniques in financial risk management
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Προσομοίωση ; Κατανομή (Οικονομική θεωρία) ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Παράγωγα (Χρηματοοικονομική)Abstract
Risk management is an important scientific subject with applications in many areas, one of which is financial analysis. This M.Sc. dissertation will use a basic technique of financial risk management, which is Monte Carlo simulation. The main task is to employ this tool to an interesting, in theory and in practice, problem of financial analysis: the risk neutral pricing of financial derivatives through the Black & Scholes model. It also introduces hedging and measurement of risk through a widely accepted measure of risk, called Value at Risk (VaR). The aim of this work is to simulate values of financial instruments using the R programming language, in order to price financial derivatives and hedge financial risks.