Advanced derivatives pricing and risk management : theory, tools and hands-on programming application /
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...
| Основен автор: | Albanese, Claudio. |
|---|---|
| Други автори: | Campolieti, Giuseppe (Mathematics professor) |
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Amsterdam ; Boston :
Elsevier Academic Press,
℗♭2006.
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| Серия: |
Academic Press advanced finance series.
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=196097 |
| Подобни документи: |
Print version::
Advanced derivatives pricing and risk management. |
Съдържание:
- 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.