TY  - BOOK
AU  - Albanese,Claudio
AU  - Campolieti,Giuseppe
TI  - Advanced derivatives pricing and risk management: theory, tools and hands-on programming application 
SN  - 0120476827 (hbk.)
U1  - 332.6457 
PY  - 2006///
CY  - Amsterdam, Boston
PB  - Elsevier/Academic Press
KW  - Risk management
KW  - Derivative securities
KW  - Prices
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
ER  -