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Advanced derivatives pricing and ris...

Albanese, Claudio.

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

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Advanced derivatives pricing and risk management :Claudio Albanese and Giuseppe Campolieti.
其他題名:	theory, tools and hands-on programming application /
作者:	Albanese, Claudio.
其他作者:	Campolieti, Giuseppe.
出版者:	Amsterdam ;Elsevier Academic Press,c2006.
面頁冊數:	xiii, 420 p. :ill. ;27 cm. +1 CD-ROM (4 3/4 in.).
叢書名:	Academic Press advanced finance series
標題:	Risk management.
電子資源:	http://www.loc.gov/catdir/enhancements/fy0623/2005026202-t.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0623/2005026202-d.html
ISBN:	0120476827 (hardcover : alk. paper) :

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

Advanced derivatives pricing and risk management :theory, tools and hands-on programming application /Claudio Albanese and Giuseppe Campolieti. - Amsterdam ;Elsevier Academic Press,c2006. - xiii, 420 p. :ill. ;27 cm. +1 CD-ROM (4 3/4 in.). - Academic Press advanced finance series.

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.

ISBN: 0120476827 (hardcover : alk. paper) :NT$1080

LCCN: 2005026202Subjects--Topical Terms:

174339
Risk management.

LC Class. No.: HG6024.A3 / A44 2006

Dewey Class. No.: 332.64/57

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