Advanced derivatives pricing and risk management : theory, tools and hands-programming applications (Record no. 90313)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02470nam a2200157Ia 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 978-01200476827 |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Albanese, Claudio,; Campolieti, Giuseppe; |
| 245 ## - TITLE STATEMENT | |
| Title | Advanced derivatives pricing and risk management : theory, tools and hands-programming applications |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2006 |
| Name of publisher, distributor, etc. | Elsevier |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XIII, 420p. |
| Other physical details | 26 cm ; Hard Bound |
| 500 ## - GENERAL NOTE | |
| General note | $84.95 |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Pricing theory --<br/>Fixed-income instruments --<br/>Advanced topics in pricing theory : exotic options and state-dependent models --<br/>Numerical methods for value-at-risk --<br/>Project : arbitrage theory --<br/>Project : the Black-Scholes (lognormal) model --<br/>Project : quantile-quantile plots --<br/>Project : Monte Carlo pricer --<br/>Project : the binomial lattice model --<br/>Project : the trinomial lattice model --<br/>Project : Crank-Nicolson option pricer --<br/>Project : static hedging of barrier options --<br/>Project : variance swaps --<br/>Project : Monte Carlo value-at-risk for Delta-Gamma portfolios --<br/>Project : covariance estimation and scenario generation in value-at-risk --<br/>Project : interest rate trees : calibration and pricing. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | the purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topics in derivative pricing and risk management in a style that is engaging, accessible and self-instructional. The book contains a wide spectrum of problems, worked-out solutions, detailed methodologies and applied mathematical techniques for which anyone planning to make a serious career in quantitative finance must master. In fact, core portions of the books material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Masters program in mathematical finance. As a bonus to the reader, the book also gives a detailed exposition on new cutting-edge theoretical techniques with many results in pricing theory that are published here for the first time. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Derivatives |
| -- | Risk management |
| -- | Derivative securities--Prices--Mathematical models |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Books |
| Withdrawn status | Lost status | Damaged status | Not for loan | Collection code | Home library | Current library | Shelving location | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Date last checked out | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GSB Collection | 25/03/2010 | 1 | 332.645 ALB | 29912 | 14/12/2016 | 29/11/2016 | 22/06/2019 | Books |