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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 : 單行本
副題名:	theory, tools and hands-on programming application
作者:	AlbaneseClaudio.,
合作者:	CampolietiGiuseppe.,
其他團體作者:	ScienceDirect (Online service)
出版地:	Amsterdam
出版者:	Elsevier Academic Press;
出版年:	c2006.
面頁冊數:	xiii, 420 p.ill. : 27 cm.;
集叢名:	Academic Press advanced finance series
標題:	Gestion du risque. -
標題:	Instruments d歋riv歋s (Finances) - Prix. -
標題:	Derivative securities - Prices. -
標題:	Risk management. -
標題:	Electronic books. -
標題:	Administra簙跾o de risco. -
標題:	Derivaten (financi鋀n) -
標題:	Derivativos. -
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-d.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0623/2005026202-d.html
附註:	Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008.
摘要註:	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.
ISBN:	0120476827
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.

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.. - (Academic Press advanced finance series).
Pricing theory.
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008..
Includes bibliographical references (p. 399-405) and index..
ISBN 0120476827ISBN 9780120476824
Gestion du risque.Instruments d歋riv歋s (Finances) Derivative securities Risk management.Electronic books.Administra簙跾o de risco.Derivaten (financi鋀n)Derivativos. -- Prix. -- Prices.

Campolieti, Giuseppe.

Advanced derivatives pricing and risk management : theory, tools and hands-on programming application
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200 1 $a Advanced derivatives pricing and risk management $e theory, tools and hands-on programming application $f Claudio Albanese and Giuseppe Campolieti.
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215 1 $a xiii, 420 p. $c ill. $d 27 cm.
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300 $a Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008.
320 $a Includes bibliographical references (p. 399-405) and index.
327 0 $a Pricing theory $a Fixed-income instruments $a Advanced topics in pricing theory : exotic options and state-dependent models $a Numerical methods for value-at-risk $a Project : arbitrage theory $a Project : the Black-Scholes (lognormal) model $a Project : quantile-quantile plots $a Project : Monte Carlo pricer $a Project : the binomial lattice model $a Project : the trinomial lattice model $a Project : Crank-Nicolson option pricer $a Project : static hedging of barrier options $a Project : variance swaps $a Project : Monte Carlo value-at-risk for Delta-Gamma portfolios $a Project : covariance estimation and scenario generation in value-at-risk $a Project : interest rate trees : calibration and pricing.
330 0 $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.
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606 $a Derivaten (financi鋀n) $3 454393
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856 7 $u http://www.sciencedirect.com/science/book/9780120476824 $z An electronic book accessible through the World Wide Web; click for information
856 7 $u http://www.loc.gov/catdir/enhancements/fy0623/2005026202-t.html