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

著者

書誌事項

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

Claudio Albanese and Giuseppe Campolieti

(Academic Press advanced finance series)

Elsevier Academic Press, c2006

タイトル別名

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

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注記

Includes bibliographical references (p. 399-[405]) and index

内容説明・目次

内容説明

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.

目次

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

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