Advanced derivatives pricing and risk management theory, tools and hands-on programming application /
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| Main Author: | |
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| Corporate Author: | |
| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Amsterdam ; Boston :
Elsevier Academic Press,
c2006.
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| Series: | Academic Press advanced finance series.
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| Subjects: | |
| Online Access: | An electronic book accessible through the World Wide Web; click to view |
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| 008 | 050912s2006 ne a sb 001 0 eng | ||
| 010 | |z 2005026202 | ||
| 020 | |z 0120476827 (hardcover : alk. paper) | ||
| 035 | |a (CaPaEBR)ebr10186472 | ||
| 035 | |a (OCoLC)213298521 | ||
| 040 | |a CaPaEBR |c CaPaEBR | ||
| 050 | 1 | 4 | |a HG6024.A3 |b A44 2006eb |
| 082 | 0 | 4 | |a 332.64/57 |2 22 |
| 100 | 1 | |a Albanese, Claudio. | |
| 245 | 1 | 0 | |a Advanced derivatives pricing and risk management |h [electronic resource] : |b theory, tools and hands-on programming application / |c Claudio Albanese and Giuseppe Campolieti. |
| 260 | |a Amsterdam ; |a Boston : |b Elsevier Academic Press, |c c2006. | ||
| 300 | |a xiii, 420 p. : |b ill. | ||
| 490 | 1 | |a Academic Press advanced finance series | |
| 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. | |
| 533 | |a Electronic reproduction. |b Palo Alto, Calif. : |c ebrary, |d 2013. |n Available via World Wide Web. |n Access may be limited to ebrary affiliated libraries. | ||
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Derivative securities |x Prices. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 700 | 1 | |a Campolieti, Giuseppe. | |
| 710 | 2 | |a ebrary, Inc. | |
| 830 | 0 | |a Academic Press advanced finance series. | |
| 856 | 4 | 0 | |u http://site.ebrary.com/lib/daystar/Doc?id=10186472 |z An electronic book accessible through the World Wide Web; click to view |
| 908 | |a 170314 | ||
| 942 | 0 | 0 | |c EB |
| 999 | |c 82988 |d 82988 | ||