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Advanced derivatives pricing and risk management [[electronic resource] ] : theory, tools and hands-on programming application / / Claudio Albanese and Giuseppe Campolieti
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced derivatives pricing and risk management [[electronic resource] ] : theory, tools and hands-on programming application / / Claudio Albanese and Giuseppe Campolieti
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / / Claudio Albanese and Giuseppe Campolieti
| 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
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||
| Amsterdam ; ; Boston, : Elsevier Academic Press, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The blank swan : the end of probability / / Elie Ayache
| The blank swan : the end of probability / / Elie Ayache |
| Autore | Ayache Elie |
| Pubbl/distr/stampa | West Sussex, England : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (498 p.) |
| Disciplina |
332.632
332.64/5 332.645 |
| Soggetto topico |
Options (Finance)
Derivative securities - Prices Capital market |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-66176-3
1-119-20635-9 1-282-88880-3 9786612888809 0-470-66012-0 |
| Classificazione | QK 660 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The BLANK Swan; Contents; Introduction; PART I WRITING AND EVENT; 1 Writer of The BLANK Swan; 2 The Writing of Derivatives; 3 The Event of the Market; 4 Writing and the Market; PART II ABSOLUTE CONTINGENCY AND THE RETURN OF SPECULATION; 5 The Necessity of Contingency; 6 Passage to the Future; 7 Necessity of the Future; 8 Necessity of Writing; PART III FLIGHT TO SYDNEY, OR THE GENESIS OF THE BOOK; 9 The Mathematics of Price; 10 Barton Fink; 11 The Narrative Adventure; 12 Out of the Box; 13 The Prestige; 14 The Geographical Process
PART IV CONVERSION OF CREDIT INTO EQUITY, OR THE GENESIS OF THE MARKET15 History of the Market; 16 From Debt to Equity; 17 The Market and the Philosophy of Difference; 18 Future of the Market; 19 Appendix 1 The Logic and Mathematics of Regime Switching; 20 Appendix 2 From 'Being and Time' to 'Being and Place' with Jeff Malpas; Bibliography; Index |
| Record Nr. | UNINA-9910140914803321 |
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Ayache Elie
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||
| West Sussex, England : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The blank swan : the end of probability / / Elie Ayache
| The blank swan : the end of probability / / Elie Ayache |
| Autore | Ayache Elie |
| Pubbl/distr/stampa | West Sussex, England : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (498 p.) |
| Disciplina |
332.632
332.64/5 332.645 |
| Soggetto topico |
Options (Finance)
Derivative securities - Prices Capital market |
| ISBN |
0-470-66176-3
1-119-20635-9 1-282-88880-3 9786612888809 0-470-66012-0 |
| Classificazione | QK 660 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The BLANK Swan; Contents; Introduction; PART I WRITING AND EVENT; 1 Writer of The BLANK Swan; 2 The Writing of Derivatives; 3 The Event of the Market; 4 Writing and the Market; PART II ABSOLUTE CONTINGENCY AND THE RETURN OF SPECULATION; 5 The Necessity of Contingency; 6 Passage to the Future; 7 Necessity of the Future; 8 Necessity of Writing; PART III FLIGHT TO SYDNEY, OR THE GENESIS OF THE BOOK; 9 The Mathematics of Price; 10 Barton Fink; 11 The Narrative Adventure; 12 Out of the Box; 13 The Prestige; 14 The Geographical Process
PART IV CONVERSION OF CREDIT INTO EQUITY, OR THE GENESIS OF THE MARKET15 History of the Market; 16 From Debt to Equity; 17 The Market and the Philosophy of Difference; 18 Future of the Market; 19 Appendix 1 The Logic and Mathematics of Regime Switching; 20 Appendix 2 From 'Being and Time' to 'Being and Place' with Jeff Malpas; Bibliography; Index |
| Record Nr. | UNINA-9910830238603321 |
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Ayache Elie
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||
| West Sussex, England : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Excess volatility in the term structure of interest rates, in share prices and in Eurozone derivatives / / Amia Santini
| Excess volatility in the term structure of interest rates, in share prices and in Eurozone derivatives / / Amia Santini |
| Autore | Santini Amia |
| Pubbl/distr/stampa | Wiesbaden, Germany : , : Springer Fachmedien Wiesbaden GmbH, , [2022] |
| Descrizione fisica | 1 online resource (82 pages) |
| Disciplina | 332.645 |
| Collana | BestMasters |
| Soggetto topico |
Derivative securities - Prices
Finance, Public |
| ISBN |
9783658374501
9783658374495 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910568269303321 |
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Santini Amia
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| Wiesbaden, Germany : , : Springer Fachmedien Wiesbaden GmbH, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA
| A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA |
| Autore | Primbs James A. |
| Pubbl/distr/stampa | Boca Raton, Florida : , : CRC Press, , [2014] |
| Descrizione fisica | 1 online resource (294 pages) : illustrations |
| Disciplina | 332.6457 |
| Soggetto topico |
Derivative securities - Prices
Derivative securities - Mathematical models Assets (Accounting) |
| ISBN |
1-4987-6335-9
1-315-38029-3 1-4987-6333-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | chapter 1. Building blocks and stochastic differential equation models -- chapter 2. Ito's Lemma -- chapter 3. Stochastic differential equations -- chapter 4. The factor model approach to arbitrage pricing -- chapter 5. Constructing a factor model pricing framework -- chapter 6. Equity derivatives -- chapter 7. Interest rate and credit derivatives -- chapter 8. Hedging -- chapter 9. Computation of solutions -- chapter 10. The road to risk neutrality. |
| Record Nr. | UNINA-9910155240903321 |
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Primbs James A.
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| Boca Raton, Florida : , : CRC Press, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Pricing and hedging financial derivatives [[electronic resource] ] : a guide for practitioners / / Leonardo Marroni and Irene Perdomo
| Pricing and hedging financial derivatives [[electronic resource] ] : a guide for practitioners / / Leonardo Marroni and Irene Perdomo |
| Autore | Marroni Leonardo <1980-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (252 pages) |
| Disciplina | 332.64/57 |
| Altri autori (Persone) | PerdomoIrene <1977-> |
| Collana | Wiley finance series |
| Soggetto topico |
Derivative securities - Prices
Hedging (Finance) |
| ISBN |
1-118-77321-7
1-119-95457-6 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Pricing and Hedging Financial Derivatives: A Guide for Practitioners; Contents; Preface; Acknowledgements; 1 An Introduction to the Major Asset Classes; 1.1 EQUITIES; 1.1.1 Introduction; 1.1.2 Pricing equities; 1.1.3 Fundamental analysis; 1.1.4 Technical analysis; 1.1.5 Quantitative analysis; 1.1.6 The equity risk premium and the pre-FOMC announcement drift; 1.2 COMMODITIES; 1.2.1 Introduction; 1.2.2 Hedging; 1.2.3 Backwardation and contango; 1.2.4 Investment in commodities; 1.2.5 Commodity fundamentals; 1.2.6 Super-cycles in commodity prices; 1.2.7 Future regulation; 1.3 FIXED INCOME
1.3.1 Introduction 1.3.2 Credit risk; 1.3.3 The empirical pattern of yield curve moves; 1.3.4 Modelling interest rate movements; 1.3.5 Modelling the risks of default; 1.4 FOREIGN EXCHANGE; 1.4.1 Introduction; 1.4.2 How foreign exchange rates are quoted; SUMMARY; 2 Derivatives: Forwards, Futures and Swaps; 2.1 DERIVATIVES; 2.2 FORWARD CONTRACTS; 2.2.1 Definition; 2.2.2 Payoffs of forward contracts; 2.2.3 Forward price versus delivery price; 2.3 FUTURES CONTRACTS; 2.4 CALCULATING IMPLIED FORWARD PRICES AND VALUING EXISTING FORWARD CONTRACTS; 2.4.1 Calculating implied forward prices on equities 2.4.2 Calculating implied forward prices on foreign exchange rates 2.4.3 Calculating implied forward prices on commodities; 2.4.4 Valuing existing forward contracts; 2.5 PRICING FUTURES CONTRACTS; 2.6 SWAPS; 2.6.1 Introduction; 2.6.2 Interest rate swaps; 2.6.3 Commodity swaps; 2.6.4 Commodity swap valuation; 2.6.5 Commodity swaps with variable notional and price; 2.6.6 Currency swaps; 2.6.7 Equity swaps; SUMMARY; 3 Derivatives: Options and Related Strategies; 3.1 CALL OPTIONS; 3.1.1 Definition; 3.1.2 Examples; 3.1.3 Scenario analysis for the S&P 500 Index call option; 3.2 PUT OPTIONS 3.2.1 Definition 3.2.2 Examples; 3.2.3 Scenario analysis for put options; 3.3 BOUNDARY CONDITIONS FOR CALL AND PUT OPTIONS PRICES; 3.3.1 Introduction and basic notation; 3.3.2 A call option cannot be worth more than the price of the underlying asset; 3.3.3 The price of a put option cannot be higher than the present value of the strike price, K; 3.3.4 Lower boundaries for call options on non-dividend paying stocks; 3.3.5 Lower boundaries for put options on non-dividend paying stocks; 3.4 PUT-CALL PARITY; 3.5 SWAPTIONS; 3.6 OPTIONS STRATEGIES; 3.6.1 Introduction to option strategies 3.6.2 Option spreads 3.6.3 Directional strategies using vertical spreads; 3.6.4 Risk reversal and collars; 3.6.5 Volatility strategies with puts and calls; SUMMARY; 4 Binomial Option Pricing; 4.1 ONE-PERIOD BINOMIAL TREE: REPLICATION APPROACH; 4.2 RISK-NEUTRAL VALUATION; 4.2.1 Introduction to risk-neutral valuation; 4.2.2 An alternative way to think of the option price; 4.2.3 Risk-neutral probabilities; 4.3 TWO-PERIOD BINOMIAL TREE: VALUING BACK DOWN THE TREE; 4.4 THE BINOMIAL TREE: A GENERALIZATION; 4.5 EARLY EXERCISE AND AMERICAN OPTIONS; 4.6 VOLATILITY CALIBRATION; SUMMARY 5 The Fundamentals of Option Pricing |
| Record Nr. | UNINA-9910138996303321 |
|
Marroni Leonardo <1980->
|
||
| Chichester, England : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Pricing and hedging financial derivatives [[electronic resource] ] : a guide for practitioners / / Leonardo Marroni and Irene Perdomo
| Pricing and hedging financial derivatives [[electronic resource] ] : a guide for practitioners / / Leonardo Marroni and Irene Perdomo |
| Autore | Marroni Leonardo <1980-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (252 pages) |
| Disciplina | 332.64/57 |
| Altri autori (Persone) | PerdomoIrene <1977-> |
| Collana | Wiley finance series |
| Soggetto topico |
Derivative securities - Prices
Hedging (Finance) |
| ISBN |
1-118-77321-7
1-119-95457-6 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Pricing and Hedging Financial Derivatives: A Guide for Practitioners; Contents; Preface; Acknowledgements; 1 An Introduction to the Major Asset Classes; 1.1 EQUITIES; 1.1.1 Introduction; 1.1.2 Pricing equities; 1.1.3 Fundamental analysis; 1.1.4 Technical analysis; 1.1.5 Quantitative analysis; 1.1.6 The equity risk premium and the pre-FOMC announcement drift; 1.2 COMMODITIES; 1.2.1 Introduction; 1.2.2 Hedging; 1.2.3 Backwardation and contango; 1.2.4 Investment in commodities; 1.2.5 Commodity fundamentals; 1.2.6 Super-cycles in commodity prices; 1.2.7 Future regulation; 1.3 FIXED INCOME
1.3.1 Introduction 1.3.2 Credit risk; 1.3.3 The empirical pattern of yield curve moves; 1.3.4 Modelling interest rate movements; 1.3.5 Modelling the risks of default; 1.4 FOREIGN EXCHANGE; 1.4.1 Introduction; 1.4.2 How foreign exchange rates are quoted; SUMMARY; 2 Derivatives: Forwards, Futures and Swaps; 2.1 DERIVATIVES; 2.2 FORWARD CONTRACTS; 2.2.1 Definition; 2.2.2 Payoffs of forward contracts; 2.2.3 Forward price versus delivery price; 2.3 FUTURES CONTRACTS; 2.4 CALCULATING IMPLIED FORWARD PRICES AND VALUING EXISTING FORWARD CONTRACTS; 2.4.1 Calculating implied forward prices on equities 2.4.2 Calculating implied forward prices on foreign exchange rates 2.4.3 Calculating implied forward prices on commodities; 2.4.4 Valuing existing forward contracts; 2.5 PRICING FUTURES CONTRACTS; 2.6 SWAPS; 2.6.1 Introduction; 2.6.2 Interest rate swaps; 2.6.3 Commodity swaps; 2.6.4 Commodity swap valuation; 2.6.5 Commodity swaps with variable notional and price; 2.6.6 Currency swaps; 2.6.7 Equity swaps; SUMMARY; 3 Derivatives: Options and Related Strategies; 3.1 CALL OPTIONS; 3.1.1 Definition; 3.1.2 Examples; 3.1.3 Scenario analysis for the S&P 500 Index call option; 3.2 PUT OPTIONS 3.2.1 Definition 3.2.2 Examples; 3.2.3 Scenario analysis for put options; 3.3 BOUNDARY CONDITIONS FOR CALL AND PUT OPTIONS PRICES; 3.3.1 Introduction and basic notation; 3.3.2 A call option cannot be worth more than the price of the underlying asset; 3.3.3 The price of a put option cannot be higher than the present value of the strike price, K; 3.3.4 Lower boundaries for call options on non-dividend paying stocks; 3.3.5 Lower boundaries for put options on non-dividend paying stocks; 3.4 PUT-CALL PARITY; 3.5 SWAPTIONS; 3.6 OPTIONS STRATEGIES; 3.6.1 Introduction to option strategies 3.6.2 Option spreads 3.6.3 Directional strategies using vertical spreads; 3.6.4 Risk reversal and collars; 3.6.5 Volatility strategies with puts and calls; SUMMARY; 4 Binomial Option Pricing; 4.1 ONE-PERIOD BINOMIAL TREE: REPLICATION APPROACH; 4.2 RISK-NEUTRAL VALUATION; 4.2.1 Introduction to risk-neutral valuation; 4.2.2 An alternative way to think of the option price; 4.2.3 Risk-neutral probabilities; 4.3 TWO-PERIOD BINOMIAL TREE: VALUING BACK DOWN THE TREE; 4.4 THE BINOMIAL TREE: A GENERALIZATION; 4.5 EARLY EXERCISE AND AMERICAN OPTIONS; 4.6 VOLATILITY CALIBRATION; SUMMARY 5 The Fundamentals of Option Pricing |
| Record Nr. | UNINA-9910808834303321 |
|
Marroni Leonardo <1980->
|
||
| Chichester, England : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
