critiques against the use of simulation, which point to the following problematic areas: (i) interpretation of the simulation … dynamics, (ii) estimation of the simulation model, and (iii) generalisation of the results. I show that there exist solutions …

This paper aims to study, by means of a laboratory experiment and a simulation model, some of the mechanisms which …

valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory … framework for incorporating these findings into the Black- Scholes risk-neutral valuation framework. This paper provides the …

This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for … measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three … methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We …