Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
Material type:
TextSeries: Academic Press advanced finance seriesPublication details: Amsterdam ; Boston : Elsevier Academic Press, c2006.Description: xiii, 420 p. :+1 CD-ROM 1 CD-ROM (4 3/4 in.)ISBN: - 0120476827
- 332.6457 A5A2
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Indore | 332.6457 A5A2 (Browse shelf(Opens below)) | Available | IIMI-17221 |
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| 332.64530 V2B4 Binomial models in finance / | 332.6453 Y6O6 The options doctor : | 332.6457 Global derivatives : | 332.6457 A5A2 Advanced derivatives pricing and risk management : | 332.6457 B2C7 Credit derivatives : | 332.6457 B4R4 Risk-Neutral valuation: | 332.6457 C8R4 Risk transfer : |
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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