Advanced derivatives pricing and risk management [electronic resource] : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
By: Albanese, Claudio.
Contributor(s): Campolieti, Giuseppe | ebrary, Inc
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Series: Academic Press advanced finance series: Publisher: Amsterdam ; Boston : Elsevier Academic Press, c2006Description: xiii, 420 p. : ill. ; 27 cm. +.Subject(s): Risk management | Derivative securities -- PricesGenre/Form: Electronic books.DDC classification: 332.64/57 Online resources: An electronic book accessible through the World Wide Web; click to view | Item type | Current location | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
| 332.64/57 (Browse shelf) | Available |
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| No cover image available | No cover image available | No cover image available | No cover image available | |||||
| 332.64/53 Exotic options trading | 332.64/53 Option strategies | 332.64/57 Credit correlation | 332.64/57 Advanced derivatives pricing and risk management | 332.64/57 Credit default swap markets in the global economy : | 332.64/57 Derivatives demystified | 332.64/57 Derivatives, interest and yield in finance |
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.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2011. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.