| 청구기호 |
HG6024.A3 .A44 2006 |
| 형태사항 |
xiii, 420 p. : ill. ; 27 cm. + 1 CD-ROM (4 3/4 in.).
|
| 언어 |
English |
| 서지주기 |
Includes bibliographical references (p. 399-405) and index.
|
| 내용 |
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.
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| 주제 |
Risk management.
Derivative securities --Prices.
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| LCCN |
2005026202
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| ISBN |
0120476827 (hbk.)
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| 기타 표준번호 |
9780120476824
|
| 관련서지 |
Advanced derivatives pricing and risk management theory, tools and hands-on programming application / [computer file]
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