Advanced derivatives pricing and risk management theory, tools and hands-on programming application /
Saved in:
| Main Author: | |
|---|---|
| Corporate Author: | |
| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Amsterdam ; Boston :
Elsevier Academic Press,
c2006.
|
| Series: | Academic Press advanced finance series.
|
| Subjects: | |
| Online Access: | An electronic book accessible through the World Wide Web; click to view |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Table of 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.