TY  - BOOK
AU  - Albanese,Claudio
AU  - Campolieti,Giuseppe
TI  - Advanced derivatives pricing and risk management: theory, tools and hands-on programming application 
SN  - 9780120476824 (hardcover : alk. paper)
AV  - HG6024.A3 A44 2006
U1  - 332.64'57 22
PY  - 2006///
CY  - Amsterdam, Boston
PB  - Elsevier Academic Press
KW  - Derivative securities
KW  - Prices
KW  - Risk management
N1  - 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
N2  - 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.
UR  - http://www.loc.gov/catdir/enhancements/fy0623/2005026202-d.html
UR  - http://www.loc.gov/catdir/enhancements/fy0623/2005026202-t.html
ER  -