Simulation of Stochastic differential equation of geometric Brownian motion by quasi-Monte Carlo method and its application in prediction of total index of stock market and value at risk

Author:

Fathi Vajargah Kianoush,Shoghi Maryam

Publisher

Springer Science and Business Media LLC

Subject

General Medicine

Reference13 articles.

1. Akbarian, R., Dyanati, M.: Risk management in Islamic Banking, Islamic economy quarterly (2004)

2. Giles, M., et al.: Quasi-Monte Carlo for finance applications. Anziam Journal, Australia (2008)

3. Huang, A.Y.: An optimization process in Value-at-Risk Estimation”. Rev. Finan. Econ. 19(3), 109–116 (2010)

4. Habibnia, A.: Exchange rate risk measurement and management, LSE Risk and Stochastic Group (2013)

5. Jorion, P.: Value at Risk: The New Benchmark for Managing Financial Risk, 2nd ed. McGraw-Hill (2000)

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