Advanced Derivatives Pricing and Risk Management

Claudio Albanese , Giuseppe Campolieti 지음

elsevier 2005년 09월 08일 출간

작품소개

책소개

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

목차

I Pricing Theory and Risk Management 111 Pricing Theory 132 Fixed Income Instruments 1353 Advanced Topics in Pricing Theory: Exotic Options and State DependentModels 1754 Numerical Methods for Value-at-Risk 275II Numerical Projects in Pricing and Risk Management 3535 Project: Arbitrage Theory 3556 Project: The Black-Scholes (Lognormal) Model 3617 Project: Quantile-quantile plots 3678 Project: Monte Carlo Pricer 3719 Project: The Binomial Lattice Model 37710 Project: The Trinomial Lattice Model 38311 Project: Crank-Nicolson option pricer 39312 Project: Static Hedging of Barrier Options 39913 Project: Variance Swaps 40914 Project: Monte Carlo VaR for Delta-Gamma Portfolios 41515 Project: Covariance estimation and scenario generation in VaR 42116 Project: Interest Rate Trees: Calibration and Pricing 425

출판사 서평

？？Albanese and Campolieti carefully select the most important and relevant topics in financial derivatives pricing and risk management. Their work strikes a fine balance between theory and financial practice. A dozen carefully designed numerical projects are included that serve to introduce students to actual implementation issues in pricing and risk management. The book is succinctly written, with clear and insightful descriptions of state-of-the-art financial models. The style of presentation demonstrates the authors' unique pedagogical exposition of the quantitative and financial concepts in derivative pricing and risk management. Advanced Derivatives Pricing and Risk Management is destined to be a valuable text and reference for students and practitioners in the field of financial engineering.？ ？？ Yue Kuen Kwok, Associate Professor, Department of Mathematics, Hong Kong University of Science and Technology ？？The set of projects on the accompanying CDROM give students and professors the opportunity to work in a simulated environment and can be used, as is the goal here, to train students in building software modules for pricing, hedging, etc. The projects enhance the understanding of the material and extend the book's usefulness by enabling students to tackle other situations not explicitly addressed in the modules provided. VBA is easy to learn and can facilitate rapid developments of real applications. In addition, the choice of Excel as the Graphic User Interface (GUI) is very appropriate. Furthermore, the existence of a built-in visual basic editor allows users to see the code, modify it to suit different needs and to experiment with it. Hence these features facilitate student learning to produce software themselves.？ ？？ Eliezer Prisman, Nigel Martin Chair in Finance, Director of the Financial Engineering Collaborative Diploma, Schulich School of Business, York University, Toronto "...provides a combination of theoretical and prac

작가정보

저자(글) Claudio Albanese

저자(글) Giuseppe Campolieti