Advanced derivatives pricing and risk management theory, tools and hands-on programming application /
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| Autor Corporativo: | |
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| Formato: | Recurso Electrónico livro electrónico |
| Idioma: | inglês |
| Publicado em: |
Amsterdam ; Boston :
Elsevier Academic Press,
c2006.
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| Colecção: | Academic Press advanced finance series.
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| Assuntos: | |
| Acesso em linha: | An electronic book accessible through the World Wide Web; click to view |
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Sumário:
- 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.