Advanced derivatives pricing and risk management : theory, tools and hands-on programming application

• 作者： Albanese, Claudio.
• 其他作者：
  • Campolieti, Giuseppe.
• 出版： Amsterdam ;Boston : Elsevier Academic Press
• 叢書名： Academic Press advanced finance series
• 主題： Risk management , Derivative securities--Prices
• ISBN： 0120476827 (hbk. : alk. paper): US$84.95 、 9780120476824
• 資料類型: 圖書
• 內容註: Includes bibliographical references (p. 399-405) and index. 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.
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