Advanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications (Academic Press Advanced Finance)

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9780120476824: Advanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications (Academic Press Advanced Finance)

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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Book Description:

Explores important topics and cutting-edge research about financial derivatives and risk management supported by numerical projects on the accompanying CD-ROM

From the Back Cover:

Business/Finance

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

Claudio Albanese and Giuseppe Campolieti

“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

In Advanced Derivatives Pricing and Risk Management, Claudio Albanese and Giuseppe Campolieti address the core issues in derivatives pricing and risk management within the computational environment of a financial engineer. The numerical projects provide a laboratory companion for the text that gives readers an initial experience in actual quantitative implementations of pricing and risk management problems. The projects progress from simple to complex so that the exercises become more challenging and resemble realistic situations more closely. Advanced mathematical techniques for solving a wide spectrum of exotic option pricing problems in analytically closed-form under a variety of asset price dynamical models are made accessible to students, researchers and sophisticated practitioners in quantitative finance.

Claudio Albanese is Professor of Mathematical Finance, Imperial College, London, UK.

Giuseppe Campolieti is Associate Professor of Mathematics, and SHARCNET Chair in Financial Mathematics, Wilfrid Laurier University, Waterloo, Ontario, Canada.

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Albanese, Claudio, Campolieti, Giuseppe
Editore: Academic Press (2005)
ISBN 10: 0120476827 ISBN 13: 9780120476824
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Descrizione libro Academic Press, 2005. Hardcover. Condizione libro: New. Codice libro della libreria P110120476827

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Claudio Albanese, Giuseppe Campolieti
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Descrizione libro Academic Press, 2005. Hardcover. Condizione libro: New. book. Codice libro della libreria 0120476827

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