Research Catalog
Advanced derivatives pricing and risk management : theory, tools and hands-on programming application
- Title
- Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
- Author
- Albanese, Claudio.
- Publication
- Amsterdam ; Boston : Elsevier Academic Press, [2006], ©2006.
- Supplementary Content
- Publisher description
Items in the Library & Off-site
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2 Items
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | HG6024.A3 A44 2006 | Off-site | |
Not available - Please for assistance. | Text | Use in library | Off-site |
Holdings
Details
- Additional Authors
- Campolieti, Giuseppe.
- Description
- xiii, 420 pages : illustrations; 27 cm +
- Series Statement
- Academic Press advanced finance series
- Uniform Title
- Academic Press advanced finance series.
- Subject
- Bibliography (note)
- Includes bibliographical references (p. 399-405) and index.
- Contents
- 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.
- ISBN
- 0120476827 (hardcover : alk. paper)
- 9780120476824 (hardcover : alk. paper)
- LCCN
- 2005026202
- 99821547381
- OCLC
- 61513040
- ocm61513040\
- SCSB-5932158
- Owning Institutions
- Columbia University Libraries