Advanced Derivatives Pricing And Risk Management: Theory, Tools, And Hands-on Programming…

Other | September 1, 2005

byAlbanese, Claudio, Claudio Albanese

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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.

*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

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From the Publisher

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 boo...

Format:OtherDimensions:426 pages, 1 × 1 × 1 inPublished:September 1, 2005Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0080488099

ISBN - 13:9780080488097

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Extra Content

Table of Contents

I Pricing Theory and Risk Management 11
1 Pricing Theory 13
2 Fixed Income Instruments 135
3 Advanced Topics in Pricing Theory: Exotic Options and State Dependent
Models 175
4 Numerical Methods for Value-at-Risk 275
II Numerical Projects in Pricing and Risk Management 353
5 Project: Arbitrage Theory 355
6 Project: The Black-Scholes (Lognormal) Model 361
7 Project: Quantile-quantile plots 367
8 Project: Monte Carlo Pricer 371
9 Project: The Binomial Lattice Model 377
10 Project: The Trinomial Lattice Model 383
11 Project: Crank-Nicolson option pricer 393
12 Project: Static Hedging of Barrier Options 399
13 Project: Variance Swaps 409
14 Project: Monte Carlo VaR for Delta-Gamma Portfolios 415
15 Project: Covariance estimation and scenario generation in VaR 421
16 Project: Interest Rate Trees: Calibration and Pricing 425