Advanced derivatives pricing and risk management [[electronic resource] ] : theory, tools and hands-on programming application / / Claudio Albanese and Giuseppe Campolieti
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| Autore: |
Albanese Claudio
|
| Titolo: |
Advanced derivatives pricing and risk management [[electronic resource] ] : theory, tools and hands-on programming application / / Claudio Albanese and Giuseppe Campolieti
|
| Pubblicazione: | Amsterdam ; ; Boston, : Elsevier Academic Press, c2006 |
| Descrizione fisica: | 1 online resource (435 p.) |
| Disciplina: | 332.64/57 |
| Soggetto topico: | Risk management |
| Derivative securities - Prices | |
| Altri autori: |
CampolietiGiuseppe
|
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references (p. 399-405) and index. |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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 topi |
| Titolo autorizzato: | Advanced derivatives pricing and risk management |
| ISBN: | 1-281-05315-5 |
| 9786611053154 | |
| 0-08-048809-9 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910784545903321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilitĂ qui |
Serie:
Academic Press advanced finance series.