03251nam 22006254a 450 991081745940332120200520144314.01-281-05315-597866110531540-08-048809-9(CKB)1000000000364782(EBL)293958(OCoLC)213298521(SSID)ssj0000097659(PQKBManifestationID)11113146(PQKBTitleCode)TC0000097659(PQKBWorkID)10120811(PQKB)11290867(Au-PeEL)EBL293958(CaPaEBR)ebr10186472(CaONFJC)MIL105315(MiAaPQ)EBC293958(PPN)170264726(EXLCZ)99100000000036478220050912d2006 uy 0engur|n|---|||||txtccrAdvanced derivatives pricing and risk management theory, tools and hands-on programming application /Claudio Albanese and Giuseppe Campolieti1st ed.Amsterdam ;Boston Elsevier Academic Pressc20061 online resource (435 p.)Academic Press advanced finance seriesDescription based upon print version of record.0-12-047682-7 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.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 and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topiAcademic Press advanced finance series.Risk managementDerivative securitiesPricesRisk management.Derivative securitiesPrices.332.64/57Albanese Claudio593407Campolieti Giuseppe502036MiAaPQMiAaPQMiAaPQBOOK9910817459403321Advanced derivatives pricing and risk management999514UNINA