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Advanced derivatives pricing and risk management : theory, tools and hands-programming applications

By:

Albanese, Claudio,; Campolieti, Giuseppe

Material type: Text

TextPublication details: 2006 ElsevierDescription: XIII, 420p. 26 cm ; Hard BoundISBN:

978-01200476827

Subject(s):

Derivatives Risk management Derivative securities--Prices--Mathematical models

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.

Summary: 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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.645 ALB (Browse shelf(Opens below))	Available		29912

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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.

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.

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