Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
Material type: TextSeries: Academic Press advanced finance seriesPublisher: Amsterdam ; Boston : Elsevier Academic Press, [2006]Copyright date: ©2006Description: xiii, 420 pages : illustrations ; 27 cm + 1 computer disc (12 cm)Content type:- text
- computer dataset
- unmediated
- computer
- volume
- computer disc
- 0120476827
- 9780120476824
- 332.6457 22
- HG6024.A3 A44 2006
Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|
Book | City Campus City Campus Main Collection | 332.6457 ALB (Browse shelf(Opens below)) | 1 | Available | A477979B |
Browsing City Campus shelves, Shelving location: City Campus Main Collection Close shelf browser (Hides shelf browser)
332.6453 WIL Paul Wilmott on quantitative finance. | 332.64530151924 VAN Binomial models in finance / | 332.6453015193 SMI Strategic investment : real options and games / | 332.6457 ALB Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / | 332.6457 BOM Understanding credit derivatives and related instruments / | 332.6457 CHA Analysis of derivatives for the CFA program / | 332.6457 CHA Essays in derivatives : risk-transfer tools and topics made easy / |
Accompanied by: 1 computer disc (CD-ROM)
Includes bibliographical references (pages 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.
"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 and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topics in derivative pricing and risk management in a style that is engaging, accessible and self-instructional. The book contains a wide spectrum of problems, worked-out solutions, detailed methodologies and applied mathematical techniques for which anyone planning to make a serious career in quantitative finance must master. In fact, core portions of the book?s material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Master?s program in mathematical finance. As a bonus to the reader, the book also gives a detailed exposition on new cutting-edge theoretical techniques with many results in pricing theory that are published here for the first time.*Includes easy-to-implement VB/VBA numerical software libraries*Proceeds from simple to complex in approaching pricing and risk management problems*Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives"--Publisher description.
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