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

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Bibliographic Details
Main Author: Albanese, Claudio
Corporate Author: ebrary, Inc
Other Authors: Campolieti, Giuseppe
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
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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