Advanced derivatives pricing and risk management [[electronic resource] ] : theory, tools and hands-on programming application / / Claudio Albanese and Giuseppe Campolieti |
Autore | Albanese Claudio |
Pubbl/distr/stampa | Amsterdam ; ; Boston, : Elsevier Academic Press, c2006 |
Descrizione fisica | 1 online resource (435 p.) |
Disciplina | 332.64/57 |
Altri autori (Persone) | CampolietiGiuseppe |
Collana | Academic Press advanced finance series |
Soggetto topico |
Risk management
Derivative securities - Prices |
Soggetto genere / forma | Electronic books. |
ISBN |
1-281-05315-5
9786611053154 0-08-048809-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
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. |
Record Nr. | UNINA-9910458470803321 |
Albanese Claudio
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Amsterdam ; ; Boston, : Elsevier Academic Press, c2006 | ||
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Lo trovi qui: Univ. Federico II | ||
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Advanced derivatives pricing and risk management [[electronic resource] ] : theory, tools and hands-on programming application / / Claudio Albanese and Giuseppe Campolieti |
Autore | Albanese Claudio |
Pubbl/distr/stampa | Amsterdam ; ; Boston, : Elsevier Academic Press, c2006 |
Descrizione fisica | 1 online resource (435 p.) |
Disciplina | 332.64/57 |
Altri autori (Persone) | CampolietiGiuseppe |
Collana | Academic Press advanced finance series |
Soggetto topico |
Risk management
Derivative securities - Prices |
ISBN |
1-281-05315-5
9786611053154 0-08-048809-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
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. |
Record Nr. | UNINA-9910784545903321 |
Albanese Claudio
![]() |
||
Amsterdam ; ; Boston, : Elsevier Academic Press, c2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / / Claudio Albanese and Giuseppe Campolieti |
Autore | Albanese Claudio |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Amsterdam ; ; Boston, : Elsevier Academic Press, c2006 |
Descrizione fisica | 1 online resource (435 p.) |
Disciplina | 332.64/57 |
Altri autori (Persone) | CampolietiGiuseppe |
Collana | Academic Press advanced finance series |
Soggetto topico |
Risk management
Derivative securities - Prices |
ISBN |
1-281-05315-5
9786611053154 0-08-048809-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
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. |
Record Nr. | UNINA-9910817459403321 |
Albanese Claudio
![]() |
||
Amsterdam ; ; Boston, : Elsevier Academic Press, c2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|