Advanced Derivatives Pricing and Risk Management

Claudio Albanese and Giuseppe Campolieti
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Giuseppe Campolieti: Associate Professor of Mathematics, SHARCNET Chair in Financial Mathematics, Wilfrid Laurier University, Waterloo, Ontario, Canada

in Elsevier Monographs from Elsevier, currently edited by Candice Janco

Abstract: 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

Date: 2005 Originally published 2005-09-08.
Edition: 1
ISBN: 978-0-12-047682-4
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