Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
By: Albanese, Claudio
.
Contributor(s): Campolieti, Giuseppe
.
Series: Academic Press advanced finance series. Publisher: Amsterdam ; Boston : Elsevier/Academic Press, c2006Description: xiii, 420 p. : ill. ; 27 cm. + 1 electronic optical disc (CD-ROM) (4 3/4 in.).ISBN: 0120476827 (hbk.).Subject(s): Risk management![](/opac-tmpl/bootstrap/images/filefind.png)
![](/opac-tmpl/bootstrap/images/filefind.png)
Item type | Current location | Call number | Copy number | Status | Notes | Date due | Barcode |
---|---|---|---|---|---|---|---|
Accompanying Material (Media Resource) | Taylor's Library-TU | 332.6457 ALB (Browse shelf) | 1 | Available | GENLS,GENLS,03,GR | 1000512149 |
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.