Advanced derivatives pricing and risk management :
Albanese, Claudio.
Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti. - Amsterdam ; Boston : Elsevier Academic Press, c2006. - xiii, 420 p. : ill. ; 27 cm. + 1 CD-ROM (4 3/4 in.). - Academic Press advanced finance series .
Includes bibliographical references (p. 399-405) and index.
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.
Covers topics in derivative pricing and risk management. This book contains a spectrum of problems, worked-out solutions, methodologies and applied mathematical techniques. It gives an exposition on theoretical techniques with results in pricing theory.
9780120476824 (hardcover : alk. paper) 0120476827 (hardcover : alk. paper)
2005026202
Derivative securities--Prices.
Risk management.
HG6024.A3 / A44 2006
332.64'57
Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti. - Amsterdam ; Boston : Elsevier Academic Press, c2006. - xiii, 420 p. : ill. ; 27 cm. + 1 CD-ROM (4 3/4 in.). - Academic Press advanced finance series .
Includes bibliographical references (p. 399-405) and index.
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.
Covers topics in derivative pricing and risk management. This book contains a spectrum of problems, worked-out solutions, methodologies and applied mathematical techniques. It gives an exposition on theoretical techniques with results in pricing theory.
9780120476824 (hardcover : alk. paper) 0120476827 (hardcover : alk. paper)
2005026202
Derivative securities--Prices.
Risk management.
HG6024.A3 / A44 2006
332.64'57