| Description |
xiii, 420 p. : ill. |
| Series |
Academic Press advanced finance series |
|
Academic Press advanced finance series.
|
| Bibliography |
Includes bibliographical references (p. 399-405) and index. |
| 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. |
| Reproduction |
Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries. |
| Subject |
Risk management.
|
|
Derivative securities -- Prices.
|
| Genre/Form |
Electronic books.
|
| Added Author |
Campolieti, Giuseppe.
|
|
ProQuest (Firm)
|
| ISBN |
0120476827 (hardcover : alk. paper) |
|
