Advanced derivatives pricing and risk management (Record no. 145666)
| 000 -LEADER | |
|---|---|
| fixed length control field | 02162nam a22003494a 4500 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.64/57 |
| 100 1# - MAIN ENTRY--AUTHOR NAME | |
| Personal name | Albanese, Claudio. |
| 245 10 - TITLE STATEMENT | |
| Title | Advanced derivatives pricing and risk management |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication | Amsterdam ; |
| -- | Boston : |
| Name of publisher | Elsevier Academic Press, |
| Year of publication | c2006. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | xiii, 420 p. : |
| Other physical details | ill. |
| 490 1# - SERIES STATEMENT | |
| Series statement | Academic Press advanced finance series |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical Term | Risk management. |
| Topical Term | Derivative securities |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Campolieti, Giuseppe. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://site.ebrary.com/lib/rucke/Doc?id=10186472 |
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