Advanced derivatives pricing and risk management :: theory, tools and hands-on programming application /
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...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam ; Boston :
Elsevier Academic Press,
©2006.
|
| Schriftenreihe: | Academic Press advanced finance series.
|
| Schlagworte: | |
| Online-Zugang: | Volltext Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xiii, 420 pages :) |
| Bibliographie: | Includes bibliographical references (pages 399-405) and index. |
| ISBN: | 9780080488097 0080488099 1281053155 9781281053152 9786611053154 6611053158 |
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| 520 | |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. | ||
| 504 | |a Includes bibliographical references (pages 399-405) and index. | ||
| 505 | 0 | |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. | |
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| 650 | 0 | |a Derivative securities |x Prices. | |
| 650 | 2 | |a Risk Management |0 https://id.nlm.nih.gov/mesh/D012308 | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 6 | |a Instruments dérivés (Finances) |x Prix. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
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| 650 | 7 | |a Risk management |2 fast | |
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| 650 | 1 | 7 | |a Risk management. |2 gtt |
| 650 | 7 | |a Derivativos. |2 larpcal | |
| 650 | 7 | |a Administração de risco. |2 larpcal | |
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| 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. |
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| discipline | Wirtschaftswissenschaften |
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| genre | dissertations. aat Academic theses fast Academic theses. lcgft http://id.loc.gov/authorities/genreForms/gf2014026039 Thèses et écrits académiques. rvmgf |
| genre_facet | dissertations. Academic theses Academic theses. Thèses et écrits académiques. |
| id | ZDB-4-EBA-ocn213298521 |
| illustrated | Illustrated |
| indexdate | 2024-10-25T16:16:42Z |
| institution | BVB |
| isbn | 9780080488097 0080488099 1281053155 9781281053152 9786611053154 6611053158 |
| language | English |
| oclc_num | 213298521 |
| open_access_boolean | |
| owner | MAIN |
| owner_facet | MAIN |
| physical | 1 online resource (xiii, 420 pages :) |
| psigel | ZDB-4-EBA |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Elsevier Academic Press, |
| record_format | marc |
| series | Academic Press advanced finance series. |
| series2 | Academic Press advanced finance series |
| spelling | Albanese, Claudio. http://id.loc.gov/authorities/names/n2005067796 Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti. Amsterdam ; Boston : Elsevier Academic Press, ©2006. 1 online resource (xiii, 420 pages :) text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 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. Print version record. English. Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Derivative securities Prices. Risk Management https://id.nlm.nih.gov/mesh/D012308 Gestion du risque. Instruments dérivés (Finances) Prix. risk management. aat 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 dissertations. aat Academic theses fast Academic theses. lcgft http://id.loc.gov/authorities/genreForms/gf2014026039 Thèses et écrits académiques. rvmgf Campolieti, Giuseppe (Mathematics professor) https://id.oclc.org/worldcat/entity/E39PCjBHH9dTDxp8Cc9kJPfhxP http://id.loc.gov/authorities/names/nb2008012137 has work: Advanced derivatives pricing and risk management (Text) https://id.oclc.org/worldcat/entity/E39PCFP3Bpm68xhqdxvpQgrMdP https://id.oclc.org/worldcat/ontology/hasWork Print version: Albanese, Claudio. Advanced derivatives pricing and risk management. Amsterdam ; Boston : Elsevier Academic Press, ©2006 0120476827 9780120476824 (DLC) 2005026202 (OCoLC)61513040 Academic Press advanced finance series. http://id.loc.gov/authorities/names/no2004032910 FWS01 ZDB-4-EBA FWS_PDA_EBA https://www.sciencedirect.com/science/book/9780120476824 Volltext CBO01 ZDB-4-EBA FWS_PDA_EBA https://www.sciencedirect.com/science/book/9780120476824 Volltext FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=196097 Volltext CBO01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=196097 Volltext |
| spellingShingle | Albanese, Claudio Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Academic Press advanced finance series. 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. Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Derivative securities Prices. Risk Management https://id.nlm.nih.gov/mesh/D012308 Gestion du risque. Instruments dérivés (Finances) Prix. risk management. aat 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 |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85114200 https://id.nlm.nih.gov/mesh/D012308 http://id.loc.gov/authorities/genreForms/gf2014026039 |
| 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 | Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Derivative securities Prices. Risk Management https://id.nlm.nih.gov/mesh/D012308 Gestion du risque. Instruments dérivés (Finances) Prix. risk management. aat 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 |
| topic_facet | Risk management. Derivative securities Prices. Risk Management Gestion du risque. Instruments dérivés (Finances) Prix. risk management. BUSINESS & ECONOMICS Investments & Securities General. Derivative securities Prices Risk management Derivaten (financiën) Derivativos. Administração de risco. dissertations. Academic theses Academic theses. Thèses et écrits académiques. |
| url | https://www.sciencedirect.com/science/book/9780120476824 https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=196097 |
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