Advanced Derivatives Pricing and Risk Management
Theory, Tools, and Hands-On Programming Applications
Published on 8. September 2005
426 pages
978-0-08-048809-7 (ISBN)
Description
Advanced Derivatives Pricing and Risk Management covers the most important and cutting-edge topics in financial derivatives pricing and risk management, striking a fine balance between theory and practice. The book contains a wide spectrum of problems, worked-out solutions, detailed methodologies, and applied mathematical techniques for which anyone planning to make a serious career in quantitative finance must master.
In fact, core portions of the book's material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Master's program in mathematical finance.
The book is designed for students in finance programs, particularly financial engineering.
*Includes easy-to-implement VB/VBA numerical software libraries*Proceeds from simple to complex in approaching pricing and risk management problems*Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives
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Claudio Albanese | Giuseppe Campolieti
Advanced Derivatives Pricing and Risk Management
Theory, Tools, and Hands-On Programming Applications
Book
10/2005
Academic Press
€94.09
Withdrawn from sale
Content
I Pricing Theory and Risk Management 111 Pricing Theory 132 Fixed Income Instruments 1353 Advanced Topics in Pricing Theory: Exotic Options and State DependentModels 1754 Numerical Methods for Value-at-Risk 275II Numerical Projects in Pricing and Risk Management 3535 Project: Arbitrage Theory 3556 Project: The Black-Scholes (Lognormal) Model 3617 Project: Quantile-quantile plots 3678 Project: Monte Carlo Pricer 3719 Project: The Binomial Lattice Model 37710 Project: The Trinomial Lattice Model 38311 Project: Crank-Nicolson option pricer 39312 Project: Static Hedging of Barrier Options 39913 Project: Variance Swaps 40914 Project: Monte Carlo VaR for Delta-Gamma Portfolios 41515 Project: Covariance estimation and scenario generation in VaR 42116 Project: Interest Rate Trees: Calibration and Pricing 425
