Advanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming…

Other | September 1, 2005

byAlbanese, Claudio, Claudio Albanese

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Advanced Derivatives Pricing and Risk Management covers the most important and cutting-edge topics in financial derivatives pricing and risk management, striking a fine balance between theory and practice. 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.

The book is designed for students in finance programs, particularly financial engineering.



*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

Advanced Derivatives Pricing and Risk Management covers the most important and cutting-edge topics in financial derivatives pricing and risk management, striking a fine balance between theory and practice. The book contains a wide spectrum of problems, worked-out solutions, detailed methodologies, and applied mathematical techniques fo...

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