书目详细信息
： ADVANCED DERIVATIVES PRICING AND RISK MANAGEMENT :
书目信息 机读格式(MARC)
| ISBN： | 0120476827 |
|---|---|
| 其他标准号： | 9780120476824 |
| 编目源： | DLC DLC C#P BAKER CPV |
| 个人名称： | Albanese, Claudio. |
| 题名： | Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / Claudio Albanese and Giuseppe Campolieti. |
| 索书号： | F27/A326E |
| 出版发行项： | Amsterdam ; Boston : Elsevier Academic Press, c2006. |
| 载体形态： | xiii, 420 p. : ill. ; 26 cm. + 1 CD-ROM (4 3/4 in.) |
| 丛编说明： | Academic Press advanced finance series. |
| 书目附注： | Includes bibliographical references (p. 399-405) and index. |
| 格式化内容附注： | Pricing theory -- Fixed-income instruments -- Advanced topics in pricing theory -- 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. |