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0 (hodnocen0 x )

EB

ONLINE

Amsterdam ; Boston : Elsevier Academic Press, c2006

1 online resource (xiii, 420 p.) : ill

ISBN 0120476827 (hardcover : alk. paper)

Academic Press advanced finance series

Includes bibliographical references (p. 399-405) and index

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.

Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries

001693037

full

(Au-PeEL)EBL293958

(CaONFJC)MIL105315

(CaPaEBR)ebr10186472

(MiAaPQ)EBC293958

(OCoLC)213298521