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

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.64/57
書名/作者:	Advanced derivatives pricing and risk management : theory, tools and hands-on programming application // Claudio Albanese and Giuseppe Campolieti.
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.
叢書名:	Academic Press advanced finance series
標題:	Risk management.
標題:	Derivative securities - Prices.
標題:	Derivaten (financi�en)
標題:	Derivativos.
標題:	Administra�c�ao de risco.
標題:	Gestion du risque.
標題:	Instruments d�eriv�es (Finances) - Prix.
ISBN:	9780120476824
ISBN:	0120476827
書目註:	Includes bibliographical references (p. 399-405) and index.
內容註:	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.
摘要、提要註:	Written by leading academics and practitioners in the field of financial mathematics, the purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topics in derivative pricing and risk management in a style that is engaging, accessible and self-instructional. 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 books material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Masters program in mathematical finance. As a bonus to the reader, the book also gives a detailed exposition on new cutting-edge theoretical techniques with many results in pricing theory that are published here for the first time. 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.
電子資源:	An electronic book accessible through the World Wide Web; click for information
電子資源:	http://www.loc.gov/catdir/enhancements/fy0623/2005026202-d.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0623/2005026202-t.html

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

Advanced derivatives pricing and risk managementtheory, tools and hands-on programming application /[electronic resource] :Claudio Albanese and Giuseppe Campolieti. - Amsterdam ;Elsevier Academic Press,c2006. - xiii, 420 p. :ill. ;27 cm. - 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.

Written by leading academics and practitioners in the field of financial mathematics, the purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topics in derivative pricing and risk management in a style that is engaging, accessible and self-instructional. 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 books material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Masters program in mathematical finance. As a bonus to the reader, the book also gives a detailed exposition on new cutting-edge theoretical techniques with many results in pricing theory that are published here for the first time. *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.

Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.

Mode of access: World Wide Web.

ISBN: 9780120476824

Source: 98846:98849Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

226935
Risk management.
Index Terms--Genre/Form:

336502
Electronic books.

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

Dewey Class. No.: 332.64/57

Advanced derivatives pricing and risk management[electronic resource] :theory, tools and hands-on programming application /
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300 $a xiii, 420 p. : $b ill. ; $c 27 cm.
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504 $a Includes bibliographical references (p. 399-405) and index.
505 0 $a 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.
520 $a Written by leading academics and practitioners in the field of financial mathematics, the purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topics in derivative pricing and risk management in a style that is engaging, accessible and self-instructional. 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 books material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Masters program in mathematical finance. As a bonus to the reader, the book also gives a detailed exposition on new cutting-edge theoretical techniques with many results in pricing theory that are published here for the first time. *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.
533 $a Electronic reproduction. $b Amsterdam : $c Elsevier Science & Technology, $d 2008. $n Mode of access: World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on Mar. 10, 2008). $n Access may be restricted to users at subscribing institutions.
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650 7 $a Administra�c�ao de risco. $2 larpcal $3 416234
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856 4 1 $3 Table of contents only $u http://www.loc.gov/catdir/enhancements/fy0623/2005026202-t.html
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