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

By: Contributor(s): Material type: TextTextSeries: Academic Press advanced finance seriesPublication details: Amsterdam ; Boston : Elsevier Academic Press, c2006.Description: xiii, 420 p. : ill. ; 27 cm. + 1 CD-ROM (4 3/4 in.)ISBN:
  • 9780120476824 (hardcover : alk. paper)
  • 0120476827 (hardcover : alk. paper)
Subject(s): DDC classification:
  • 332.64'57 22
LOC classification:
  • HG6024.A3 A44 2006
Online resources:
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.
Summary: 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.
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Holdings
Item type Current library Collection Call number Copy number Status Date due Barcode
Monograph & others Monograph & others CBN HQ Library 332.64'57 ALB (Browse shelf(Opens below)) Available 31008100068416
Monograph & others Monograph & others CBN HQ Library 332.64'57 ALB (Browse shelf(Opens below)) Available 31008100068424
Monograph & others Monograph & others CBN IBADAN BRANCH LIBRARY General Stacks 332.64'57 ALB (Browse shelf(Opens below)) Available 31008100677414
Monograph & others Monograph & others CBN KANO BRANCH LIBRARY General Stacks Non-fiction 332.64'57 ALB (Browse shelf(Opens below)) c.1 Available 31008100655873
Monograph & others Monograph & others CBN BAUCHI BRANCH LIBRARY General Stacks Non-fiction 332.64'57 ALB (Browse shelf(Opens below)) c.1 Available 31008100565528
Monograph & others Monograph & others CBN LAGOS LAISON OFFICE LIBRARY General Stacks 332.64'57 ALB (Browse shelf(Opens below)) c.1 Available 31008100694294
Monograph & others Monograph & others CBN LAGOS LEARNING CENTRE LIBRARY General Stacks Non-fiction 332.64'57 ALB (Browse shelf(Opens below)) c.1 Available 31008100847587

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.

oif 26/08/15

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