Advanced Derivatives Pricing and Risk Management

Theory, Tools, and Hands-On Programming Applications

Claudio Albanese, Giuseppe Campolieti - Collection Academic Press Advanced Finance Series

420 pages, parution le 22/11/2005

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Résumé

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 book's material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Master's 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.

Sommaire

Preface
Pricing Theory and Risk Management
- Pricing Theory
- Fixed Income Instruments
- Advanced Topics in Pricing Theory: Exotic Options and State Dependent Models
- Numerical Methods for Value-at-Risk
Numerical Projects in Pricing and Risk Management
- 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 VaR for Delta-Gamma Portfolios
- Project: Covariance estimation and scenario generation in VaR
- Project: Interest Rate Trees: Calibration and Pricing
Bibliography
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Elsevier
Auteur(s)	Claudio Albanese, Giuseppe Campolieti
Collection	Academic Press Advanced Finance Series
Parution	22/11/2005
Nb. de pages	420
Format	18 x 26
Couverture	Relié
Poids	1086g
Intérieur	Noir et Blanc
EAN13	9780120476824
ISBN13	978-0-120-47682-4