Albanese, Claudio. <br/><br/>
Advanced derivatives pricing and risk management :  theory, tools and hands-on programming application / 
Claudio Albanese and Giuseppe Campolieti. 
 - Amsterdam ;  Boston :  Elsevier/Academic Press,  c2006. 
 - xiii, 420 p. :  ill. ;  27 cm. +  1 electronic optical disc (CD-ROM) (4 3/4 in.). 
 - Academic Press advanced finance series .
<br/><br/>Includes bibliographical references (p. 399-405) and index. 
<br/><br/>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. 
<br/><br/><label>ISBN: </label>0120476827 (hbk.) 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Risk management.<br/>Derivative securities--Prices.
<br/><br/><label>Dewey Class. No.: </label>332.6457  / ALB