Advanced derivatives pricing and risk management [electronic resource] : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.

By: Albanese, ClaudioContributor(s): Campolieti, Giuseppe | ProQuest (Firm)Material type: TextTextSeries: Academic Press advanced finance seriesPublication details: Amsterdam ; Boston : Elsevier Academic Press, c2006Description: xiii, 420 p. : illSubject(s): Risk management | Derivative securities -- PricesGenre/Form: Electronic books.DDC classification: 332.64/57 LOC classification: HG6024.A3 | A44 2006Online resources: Click to View
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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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.

Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.

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