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

大学図書館所蔵 件 / 12

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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 11 1 Pricing Theory 13 2 Fixed Income Instruments 135 3 Advanced Topics in Pricing Theory: Exotic Options and State Dependent Models 175 4 Numerical Methods for Value-at-Risk 275 II Numerical Projects in Pricing and Risk Management 353 5 Project: Arbitrage Theory 355 6 Project: The Black-Scholes (Lognormal) Model 361 7 Project: Quantile-quantile plots 367 8 Project: Monte Carlo Pricer 371 9 Project: The Binomial Lattice Model 377 10 Project: The Trinomial Lattice Model 383 11 Project: Crank-Nicolson option pricer 393 12 Project: Static Hedging of Barrier Options 399 13 Project: Variance Swaps 409 14 Project: Monte Carlo VaR for Delta-Gamma Portfolios 415 15 Project: Covariance estimation and scenario generation in VaR 421 16 Project: Interest Rate Trees: Calibration and Pricing 425

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