Advanced derivatives pricing and risk management
Subtitle: theory, tools and hands-on programming application
By: Claudio Albanese and Giuseppe Campolieti.
Contributors: Campolieti, Giuseppe.
Series: Academic Press advanced finance series
Publisher: Elsevier Academic Press
Published: 2006
Place of publication: Amsterdam; Boston
Language: eng
Number of pages: 420
ISBN-13: 9780120476824
Subjects: Risk management; Derivative securities -- Prices
Notes: Includes bibliographical references (p. 399-405) and index.
Table of contents: title: Pricing theory; title: Fixed-income instruments; title: Advanced topics in pricing theory : exotic options and state-dependent models; title: Numerical methods for value-at-risk; title: Project : arbitrage theory; title: Project : the Black-Scholes (lognormal) model; title: Project : quantile-quantile plots; title: Project : Monte Carlo pricer; title: Project : the binomial lattice model; title: Project : the trinomial lattice model; title: Project : Crank-Nicolson option pricer; title: Project : static hedging of barrier options; title: Project : variance swaps; title: Project : Monte Carlo value-at-risk for Delta-Gamma portfolios; title: Project : covariance estimation and scenario generation in value-at-risk; title: Project : interest rate trees : calibration and pricing.