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...
| Κύριος συγγραφέας: | Albanese, Claudio. |
|---|---|
| Άλλοι συγγραφείς: | Campolieti, Giuseppe. |
| Μορφή: | Ηλεκτρονική πηγή |
| Γλώσσα: | English |
| Στοιχεία έκδοσης: |
Amsterdam ; Boston :
Elsevier Academic Press,
c2006.
|
| Έκδοση: | 1η έκδ. |
| Θέματα: | |
| Διαθέσιμο Online: |
http://www.sciencedirect.com/science/book/9780120476824 http://www.loc.gov/catdir/enhancements/fy0623/2005026202-t.html |
| Ετικέτες: |
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Πίνακας περιεχομένων:
- 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.