Advanced derivatives pricing and risk management theory, tools and hands-on programming application /
保存先:
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| フォーマット: | 電子媒体 eBook |
| 言語: | 英語 |
| 出版事項: |
Amsterdam ; Boston :
Elsevier Academic Press,
c2006.
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| シリーズ: | Academic Press advanced finance series.
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| 主題: | |
| オンライン･アクセス: | An electronic book accessible through the World Wide Web; click to view |
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目次:
- 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.