Hedging with trees : advances in pricing and risk managing derivatives
著者
書誌事項
Hedging with trees : advances in pricing and risk managing derivatives
Risk Books, c1998
- : softback
大学図書館所蔵 全3件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographies and index
内容説明・目次
内容説明
This is a collection of over 35 articles encapsulating recent advances in financial derivatives, selected by two well-represented academics. It includes information on advances in exotic options, computational techniques, VAR and capital management. Other topics include: volatility and correlation, market risk, interest rate models and derivatives, and Parisian pricing.
目次
Hedging With Trees Advances in Pricing and Risk Managing Derivatives CONTENTS Preface Exotic Options Introduction Mark Broadie and Paul Glasserman Building on Black Scholes Robert Whaley Discrete by Nature Edmond Levy and Fran?ois Mantion Breaking Down Barriers Terry Cheuk and Ton Vorst Exact Exotics Leif Andersen and Rupert Brotherton-Ratcliffe Breaking Barriers Peter Carr and Andrew Chou Parisian Pricing Marc Chesney, John Cornwall, Monique Jeanblanc-Piqu?, Glenn Kentwell and Marc Yor Steps to the Barrier Vadim Linetsky Passport to Success Tom Hyer, Alexander Lipton-Lifschitz and Dmitry Pugachevsky Brick by Brick Ronald Heynen and Harry Kat On Neutral Ground Ajay Gupta Less is More Donald Mintz Swing Low, Swing High Robert Zvan, Kenneth Vetzal and Peter Forsyth Flexible Friends James Angel, Gary Gastineau and Clifford Weber Interest Rate Models and Derivatives Introduction Mark Broadie and Paul Glasserman Sorting Out Swaptions Farshid Jamshidian Fit and Run Phil Hunt, Joanne Kennedy and Antoon Pelsser Gaussian Errors Chris Rogers One for All Chris Rogers Positive Interest Bjorn Flesaker and Lane Hughston When Swaps are Dropped Robert Jarrow and Stuart Turnbull Near Nirvana Peter Ritchken and L. Sankarasubramanian Lattice Works Anlong Li, Peter Ritchken and L. Sankarasubramanian Volatility and Correlation Introduction Mark Broadie and Paul Glasserman Grappling with Garch Robert Engle and Joseph Mezrich Garch for Groups Robert Engle and Joseph Mezrich Cracking the Smile Jin-Chuan Duan Growing a Smiling Tree Stanko Barle and Nusret Cakici Transatlantic Trees Neil Chriss Reconciling Differences Ronald Lagnado and Stanley Osher Pricing with a Difference Neil Chriss and Kostas Tsiveriotis Market Risk, VAR and Capital Management Introduction Mark Broadie and Paul Glasserman Going Greek with VAR Christophe Rouvine Taking VAR to pieces Mark Garman Hot Spots and Hedges (I) Robert Litterman Hot Spots and Hedges (II) Robert Litterman Thinking Coherently Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath Scale Models Francis Diebold, Andrew Hickman, Atsushi Inoue and Til Schuermann Living on the Edge Paul Embrechts, Sidney Resnick and Gennady Samorodnitsky The Cost of Conservatism Jon Danielsson, Philipp Hartmann and Casper de Vries Three Cheers Gerhard Stahl Tolerance for Risk William Morokoff, Ron Lagnado and Art Owen Index
「Nielsen BookData」 より