| Description |
xiii, 420 pages : illustrations ; 27 cm + 1 CD-ROM (4 3/4 in.) |
| Series |
Academic Press advanced finance series |
|
Academic Press advanced finance series.
|
| Contents |
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 |
| Notes |
Licence conditions preclude Library lending or networking of accompanying CDROM/DVDROM |
| Bibliography |
Includes bibliographical references (pages 399-405) and index |
| Notes |
Also available online via the World Wide Web, by subscription to ECHO (Ebrary) |
| Subject |
Derivative securities -- Prices.
|
|
Risk management.
|
| Author |
Campolieti, Giuseppe (Mathematics professor)
|
|
ebrary, Inc.
|
| LC no. |
2005026202 |
| ISBN |
0120476827 (hardcover : alk. paper) |
|
