This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs sampling, the use of heavy-tailed distributions in VaR calculations, construction of volatility smile, and state space modeling....

Elements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible....