Advanced derivatives pricing and risk managementAdvanced derivatives pricing and risk management: theory, tools and hands-on programming applications
Claudio Albanese and Giuseppe Campolieti
Publisher: Burlington, MA : Elsevier Academic Press, c2005.
ISBN: 0123695465 ISBN13: 9780123695468 DDC: 332.6457 Edition: (CD-ROM)
Notes:Includes bibliographical references and index.
Ch. 1. Pricing theory -- Ch. 2. Fixed-income instruments -- Ch. 3.
Advanced topics in pricing theory: exotic options and state-dependent
models -- Ch. 4. Numerical methods for value-at-risk -- Ch. 5.
Project: arbitrage theory -- Ch. 6. Project: the Black-Scholes
(Lognormal) model -- Ch. 7. Project: quantile-quantile plots -- Ch.
8. Project: Monte Carlo pricer -- Ch. 9. Project: the binomial
lattice model -- Ch. 10. Project: the trinomial lattice model -- Ch.
11. Project: Crank-Nicolson option pricer -- Ch. 12. Project: static
hedging of barrier options -- Ch. 13. Project: variance swaps -- Ch.
14. Project: Monte Claro value-at-risk for delta-gamma portfolios --
Ch. 15. Project: covariance estimation and scenario generation in
value-at-risk -- Ch. 16. Project: interest rate trees: calibration
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Book Details:Language: eng
Physical Description: xiii, 420 p. ; 26 cm. + 1 computer laser optical disc (4 3/4 in.)
Edition Info: (CD-ROM)
|•||Advanced derivatives pricing and risk management (Claudio Albanese and Giuseppe Campolieti; ISBN: 0080488099; (e-book); 100% match)|
|•||Advanced derivatives pricing and risk management (Claudio Albanese and Giuseppe Campolieti; ISBN: 0120476827; (hardcover : alk. paper); 100% match)|
|•||Pricing and hedging of derivative securities (Lars Tyge Nielsen; ISBN: 0198776195; (acid-free paper); 99% match)|
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|•||Derivative securities -- Prices (6)|
|•||Risk management (1565)|
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|•||Victoria University (Melbourne, Australia) (last modified on 07/06/2009)|