Advanced derivatives pricing and risk management : theory, tools and hands-on programming application /
Albanese, Claudio.
Campolieti, Giuseppe.
Amsterdam ; London : Elsevier Academic Press,
c2006.
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.
Risk management.
Derivative securities
Accompanying disc is available for use on a standalone workstation within the library for single users. Disc will require installation.