Rongo Univesity Library catalog › Details for: Advanced derivatives pricing and risk management

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Advanced derivatives pricing and risk management

by Albanese, Claudio.

Additional authors: Campolieti, Giuseppe. | ebrary, Inc.

Series: Academic Press advanced finance series Published by : Elsevier Academic Press, (Amsterdam ; | Boston :) Physical details: xiii, 420 p. : ill.

Subject(s): Risk management. | Derivative securities -- Prices. | Electronic books.

Year: 2006

Online resources:

http://site.ebrary.com/lib/rucke/Doc?id=10186472
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Includes bibliographical references (p. 399-405) and index.

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.

Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.

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