Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.

Cover image for Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.

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:

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:

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Publication Date:

2006

Publication Information:

Available:*

Shelf Number	Material Type	Copy	Shelf Location	Status
332.6457 22	1:E-BOOK	1	1:ONLINE	Searching... Unknown

Bound With These Titles

On Order

Summary

Advanced Derivatives Pricing and Risk Management covers the most important and cutting-edge topics in financial derivatives pricing and risk management, striking a fine balance between theory and practice. The book contains a wide spectrum of problems, worked-out solutions, detailed methodologies, and applied mathematical techniques for which anyone planning to make a serious career in quantitative finance must master.

In fact, core portions of the book's material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Master's program in mathematical finance.

The book is designed for students in finance programs, particularly financial engineering.

*Includes easy-to-implement VB/VBA numerical software libraries*Proceeds from simple to complex in approaching pricing and risk management problems*Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives