Advanced derivatives pricing and risk management theory, tools and hands-on programming application /
Zapisane w:
| 1. autor: | |
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| Korporacja: | |
| Kolejni autorzy: | |
| Format: | Elektroniczne E-book |
| Język: | angielski |
| Wydane: |
Amsterdam ; Boston :
Elsevier Academic Press,
c2006.
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| Seria: | Academic Press advanced finance series.
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| Hasła przedmiotowe: | |
| Dostęp online: | An electronic book accessible through the World Wide Web; click to view |
| Etykiety: |
Nie ma etykietki, Dołącz pierwszą etykiete!
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Spis treści:
- 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.