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010   $a9786611053154
010   $a0-08-048809-9
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100   $a20050912d2006      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aAdvanced derivatives pricing and risk management$b[electronic resource] $etheory, tools and hands-on programming application /$fClaudio Albanese and Giuseppe Campolieti
210   $aAmsterdam ;$aBoston $cElsevier Academic Press$dc2006
215   $a1 online resource (435 p.)
225 1 $aAcademic Press advanced finance series
300   $aDescription based upon print version of record.
311   $a0-12-047682-7 
320   $aIncludes bibliographical references (p. 399-405) and index.
327   $aPricing 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.
330   $aWritten by leading academics and practitioners in the field of financial mathematics, the purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topi
410  0$aAcademic Press advanced finance series.
606   $aRisk management
606   $aDerivative securities$xPrices
608   $aElectronic books.
615  0$aRisk management.
615  0$aDerivative securities$xPrices.
676   $a332.64/57
700   $aAlbanese$b Claudio$0593407
701   $aCampolieti$b Giuseppe$0502036
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910458470803321
996   $aAdvanced derivatives pricing and risk management$9999514
997   $aUNINA