Advanced derivatives pricing and risk management: theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
Albanese, Claudio.; Campolieti, Giuseppe.
2006
HG6024.A3 A44 2006
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Title Advanced derivatives pricing and risk management: theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
Author Albanese, Claudio.
ISBN 0120476827 (hardcover : alk. paper)
Imprint Amsterdam ; Boston : Elsevier Academic Press, c2006.
Language English
Description xiii, 420 p. : ill.
Call Number HG6024.A3 A44 2006
Dewey Decimal Classification 332.64/57
Bibliography, etc. Note Includes bibliographical references (p. 399-405) and index.
Access Note Access limited to authorized users.
Added Author Campolieti, Giuseppe.
Series Academic Press advanced finance series.
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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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