Advanced derivatives pricing and risk management : theory, tools and hands-on programming application /

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Written by leading academics and practitioners in the field of financial mathematics, the purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Albanese, Claudio
Other Authors: Campolieti, Giuseppe (Mathematics professor)
Format: Electronic eBook
Language:Inglés
Published: Amsterdam ; Boston : Elsevier Academic Press, �2006.
Series:Academic Press advanced finance series.
Subjects:
Risk management.
Derivative securities > Prices.
Risk Management
Gestion du risque.
Instruments d�eriv�es (Finances) > Prix.
risk management.
BUSINESS & ECONOMICS > Investments & Securities > General.
Derivative securities > Prices
Risk management
Derivaten (financi�en)
Derivativos.
Administra�c�ao de risco.
Online Access:Texto completo
Table of Contents:
  • 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.

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