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Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.

By: Contributor(s): Material type: TextTextSeries: 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
Subject(s): DDC classification:
  • 332.6457 A5A2
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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Book Book Indore 332.6457 A5A2 (Browse shelf(Opens below)) Available IIMI-17221
Total holds: 0

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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