Advanced derivatives pricing and risk management: theory, tools and hands-on programming application
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam
Elsevier Academic Press
©2006
|
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 Volltext |
| Beschreibung: | Written by leading academics and practitioners in the field of financial mathematics, 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. *Includes easy-to-implement VB/VBA numerical software libraries *Proceeds from simple to complex in approaching pricing and risk management problems *Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives Includes bibliographical references (pages 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 |
| Beschreibung: | 1 Online-Ressource (xiii, 420 pages) |
| ISBN: | 0080488099 0120476827 9780080488097 9780120476824 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV043044107 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 151123s2006 |||| o||u| ||||||eng d | ||
| 020 | |a 0080488099 |9 0-08-048809-9 | ||
| 020 | |a 0120476827 |9 0-12-047682-7 | ||
| 020 | |a 9780080488097 |9 978-0-08-048809-7 | ||
| 020 | |a 9780120476824 |9 978-0-12-047682-4 | ||
| 035 | |a (OCoLC)213298521 | ||
| 035 | |a (DE-599)BVBBV043044107 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-1046 |a DE-1047 | ||
| 082 | 0 | |a 332.64/57 |2 22 | |
| 100 | 1 | |a Albanese, Claudio |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Advanced derivatives pricing and risk management |b theory, tools and hands-on programming application |c Claudio Albanese and Giuseppe Campolieti |
| 264 | 1 | |a Amsterdam |b Elsevier Academic Press |c ©2006 | |
| 300 | |a 1 Online-Ressource (xiii, 420 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Academic Press advanced finance series | |
| 500 | |a Written by leading academics and practitioners in the field of financial mathematics, 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. *Includes easy-to-implement VB/VBA numerical software libraries *Proceeds from simple to complex in approaching pricing and risk management problems *Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives | ||
| 500 | |a Includes bibliographical references (pages 399-405) and index | ||
| 500 | |a 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 | 4 | |a Gestion du risque | |
| 650 | 4 | |a Instruments dérivés (Finances) / Prix | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Investments & Securities / General |2 bisacsh | |
| 650 | 7 | |a Derivative securities / Prices |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 650 | 7 | |a Derivaten (financiën) |2 gtt | |
| 650 | 7 | |a Risk management |2 gtt | |
| 650 | 7 | |a Derivativos |2 larpcal | |
| 650 | 7 | |a Administração de risco |2 larpcal | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Derivative securities |x Prices | |
| 700 | 1 | |a Campolieti, Giuseppe |e Sonstige |4 oth | |
| 856 | 4 | 0 | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=196097 |x Aggregator |3 Volltext |
| 912 | |a ZDB-4-EBA | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028468644 | ||
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=196097 |l FAW01 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=196097 |l FAW02 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804175409571430400 |
|---|---|
| any_adam_object | |
| author | Albanese, Claudio |
| author_facet | Albanese, Claudio |
| author_role | aut |
| author_sort | Albanese, Claudio |
| author_variant | c a ca |
| building | Verbundindex |
| bvnumber | BV043044107 |
| collection | ZDB-4-EBA |
| ctrlnum | (OCoLC)213298521 (DE-599)BVBBV043044107 |
| dewey-full | 332.64/57 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57 |
| dewey-search | 332.64/57 |
| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>04522nmm a2200553zc 4500</leader><controlfield tag="001">BV043044107</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">151123s2006 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0080488099</subfield><subfield code="9">0-08-048809-9</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0120476827</subfield><subfield code="9">0-12-047682-7</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780080488097</subfield><subfield code="9">978-0-08-048809-7</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780120476824</subfield><subfield code="9">978-0-12-047682-4</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)213298521</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043044107</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-1046</subfield><subfield code="a">DE-1047</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64/57</subfield><subfield code="2">22</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Albanese, Claudio</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Advanced derivatives pricing and risk management</subfield><subfield code="b">theory, tools and hands-on programming application</subfield><subfield code="c">Claudio Albanese and Giuseppe Campolieti</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Amsterdam</subfield><subfield code="b">Elsevier Academic Press</subfield><subfield code="c">©2006</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (xiii, 420 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Academic Press advanced finance series</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Written by leading academics and practitioners in the field of financial mathematics, 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. *Includes easy-to-implement VB/VBA numerical software libraries *Proceeds from simple to complex in approaching pricing and risk management problems *Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references (pages 399-405) and index</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Gestion du risque</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Instruments dérivés (Finances) / Prix</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Investments & Securities / General</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Derivative securities / Prices</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risk management</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Derivaten (financiën)</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risk management</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Derivativos</subfield><subfield code="2">larpcal</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Administração de risco</subfield><subfield code="2">larpcal</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Wirtschaft</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield><subfield code="x">Prices</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Campolieti, Giuseppe</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=196097</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028468644</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=196097</subfield><subfield code="l">FAW01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=196097</subfield><subfield code="l">FAW02</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV043044107 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:15:50Z |
| institution | BVB |
| isbn | 0080488099 0120476827 9780080488097 9780120476824 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028468644 |
| oclc_num | 213298521 |
| open_access_boolean | |
| owner | DE-1046 DE-1047 |
| owner_facet | DE-1046 DE-1047 |
| physical | 1 Online-Ressource (xiii, 420 pages) |
| psigel | ZDB-4-EBA ZDB-4-EBA FAW_PDA_EBA |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Elsevier Academic Press |
| record_format | marc |
| series2 | Academic Press advanced finance series |
| spelling | Albanese, Claudio Verfasser aut Advanced derivatives pricing and risk management theory, tools and hands-on programming application Claudio Albanese and Giuseppe Campolieti Amsterdam Elsevier Academic Press ©2006 1 Online-Ressource (xiii, 420 pages) txt rdacontent c rdamedia cr rdacarrier Academic Press advanced finance series Written by leading academics and practitioners in the field of financial mathematics, 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. *Includes easy-to-implement VB/VBA numerical software libraries *Proceeds from simple to complex in approaching pricing and risk management problems *Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives Includes bibliographical references (pages 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 Gestion du risque Instruments dérivés (Finances) / Prix BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Prices fast Risk management fast Derivaten (financiën) gtt Risk management gtt Derivativos larpcal Administração de risco larpcal Wirtschaft Risk management Derivative securities Prices Campolieti, Giuseppe Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=196097 Aggregator Volltext |
| spellingShingle | Albanese, Claudio Advanced derivatives pricing and risk management theory, tools and hands-on programming application Gestion du risque Instruments dérivés (Finances) / Prix BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Prices fast Risk management fast Derivaten (financiën) gtt Risk management gtt Derivativos larpcal Administração de risco larpcal Wirtschaft Risk management Derivative securities Prices |
| title | Advanced derivatives pricing and risk management theory, tools and hands-on programming application |
| title_auth | Advanced derivatives pricing and risk management theory, tools and hands-on programming application |
| title_exact_search | Advanced derivatives pricing and risk management theory, tools and hands-on programming application |
| title_full | Advanced derivatives pricing and risk management theory, tools and hands-on programming application Claudio Albanese and Giuseppe Campolieti |
| title_fullStr | Advanced derivatives pricing and risk management theory, tools and hands-on programming application Claudio Albanese and Giuseppe Campolieti |
| title_full_unstemmed | Advanced derivatives pricing and risk management theory, tools and hands-on programming application Claudio Albanese and Giuseppe Campolieti |
| title_short | Advanced derivatives pricing and risk management |
| title_sort | advanced derivatives pricing and risk management theory tools and hands on programming application |
| title_sub | theory, tools and hands-on programming application |
| topic | Gestion du risque Instruments dérivés (Finances) / Prix BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Prices fast Risk management fast Derivaten (financiën) gtt Risk management gtt Derivativos larpcal Administração de risco larpcal Wirtschaft Risk management Derivative securities Prices |
| topic_facet | Gestion du risque Instruments dérivés (Finances) / Prix BUSINESS & ECONOMICS / Investments & Securities / General Derivative securities / Prices Risk management Derivaten (financiën) Derivativos Administração de risco Wirtschaft Derivative securities Prices |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=196097 |
| work_keys_str_mv | AT albaneseclaudio advancedderivativespricingandriskmanagementtheorytoolsandhandsonprogrammingapplication AT campolietigiuseppe advancedderivativespricingandriskmanagementtheorytoolsandhandsonprogrammingapplication |