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
and pricing.

Classification:

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Dewey Class: 332.6457 -- Financial economics

Book Details:

Language: eng
Physical Description: xiii, 420 p. ; 26 cm. + 1 computer laser optical disc (4 3/4 in.)
Edition Info: (CD-ROM)

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Subjects:

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•	Derivative securities -- Prices (6)
•	Risk management (1565)

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Libraries this book has an entry in:

•	Victoria University (Melbourne, Australia) (last modified on 07/06/2009)