Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
ISBN:
9780080488097
Titre:
Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
Auteur:
Albanese, Claudio.
Auteur personnel:
Informations de publication:
Amsterdam ; Boston : Elsevier Academic Press, ©2006.
Description physique:
1 online resource (xiii, 420 pages) : illustrations.
Série:
Academic Press advanced finance series
Contenu:
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.
Note locale:
eBooks on EBSCOhost
Auteur ajouté:
Format:
Ressources électroniques
Accès électronique:
Click here to view
Date de publication:
2006
WAIT_PUBINFO:
Amsterdam ; Boston : Elsevier Academic Press, ©2006.