| dc.description.abstract | This thesis aims to provide some methodology for estimating the
Value-at-Risk (VaR) for options and bonds. We rst introduce a
review of basic knowledge for stochastic calculus. Based on some
de nitions of VaR, the increment of VaR for options and bonds.
Following this, we simulated the prices of an underlying asset, applied
the analytical pricing equations where appropriate and simulated
pro t and loss. Then, we obtain the VaR as a probability quantile
of simulated. Finally, we present applications to implement these
algorithms and employ the Monte Carlo simulations by using R.
Key words: Value-at-Risk (VaR), Black-Scholes method, Monte
Carlo simulations, pricing bonds, pricing options. | en_US |
