Advanced derivatives pricing and risk management theory, tools and hands-on programming application /

Saved in:
書目詳細資料
主要作者: Albanese, Claudio
企業作者: ebrary, Inc
其他作者: Campolieti, Giuseppe
格式: 電子 電子書
語言:英语
出版: Amsterdam ; Boston : Elsevier Academic Press, c2006.
叢編:Academic Press advanced finance series.
主題:
在線閱讀:An electronic book accessible through the World Wide Web; click to view
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!
書本目錄:
  • 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.