Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
by
Albanese, Claudio.
ISBN
:
9780080488097
Title
:
Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
Author
:
Albanese, Claudio.
Personal Author
:
Albanese, Claudio.
Publication Information
:
Amsterdam ; Boston : Elsevier Academic Press, ©2006.
Physical Description
:
1 online resource (xiii, 420 pages) : illustrations.
Series
:
Academic Press advanced finance series
Contents
:
Pricing theory -- Fixed-income instruments -- Advanced topics in pricing theory : exotic options and state-dependent models -- Numerical methods for value-at-risk -- Project : arbitrage theory -- Project : the Black-Scholes (lognormal) model -- Project : quantile-quantile plots -- Project : Monte Carlo pricer -- Project : the binomial lattice model -- Project : the trinomial lattice model -- Project : Crank-Nicolson option pricer -- Project : static hedging of barrier options -- Project : variance swaps -- Project : Monte Carlo value-at-risk for Delta-Gamma portfolios -- Project : covariance estimation and scenario generation in value-at-risk -- Project : interest rate trees : calibration and pricing.
Local Note
:
eBooks on EBSCOhost
Subject Term
:
Risk management.
Derivative securities -- Prices.
Added Author
:
Campolieti, Giuseppe (Mathematics professor)
Format
:
Electronic Resources
Electronic Access
:
Publication Date
:
2006
Publication Information
:
Amsterdam ; Boston : Elsevier Academic Press, ©2006.
| Shelf Number | Material Type | Copy | Shelf Location | Status |
|---|
| 332.6457 22 | 1:E-BOOK | 1 | 1:ONLINE | Available for online access and/or download |