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Location Call # Volume Status
 E-BOOK      
LINK(S):
Available via Ebook Central; click here for access
Local access for all registered users. Remote access only for NSU, Broward, and Alumni.
Author Albanese, Claudio.
Title Advanced derivatives pricing and risk management [electronic resource] : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti.
OCLC EBC293958
ISBN 0120476827 (hardcover : alk. paper)
Publisher Amsterdam ; Boston : Elsevier Academic Press, c2006.
Description 1 online resource (xiii, 420 p.) : ill.
LC Subject heading/s Risk management.
Derivative securities -- Prices.
Other
Genre heading/s		 Electronic books
Bibliography Includes bibliographical references (p. 399-405) and index.
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.
Reproduction note Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
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