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Risk management and financial derivatives : a guide to the mathematics.

Contributor(s): Material type: TextTextLanguage: English Publication details: New York : McGraw-Hill, 1998.Edition: Edited by Satyajit DasDescription: xxvi, 799 páginas : tablas, gráficas ; 24 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 0070153787
Subject(s): DDC classification:
  • 332.645  R47 21
Other classification:
  • O16
Contents:
Part 1. Introduction: 1. Risk-reward Relationships - Foundations of Derivatives / Lance Smith -- Part 2: 2. Interest Rates, Bond Pricing, Duration and Convexity / Roger Cohen ; 3. Interest Rate and Yield Curve Modelling / Satyajit Das and Roger Cohen -- Part 3. Derivate pricing: 4. Pricing Forwards and Futures Contracts / John Martin ; 5. Pricing Options / Satyajit Das ; 6. Interest Rate Option Pricing Models / Jim Rowlands ; 7. Pricing Models for Complex/Exotic Options / Garry de Jager ; 8. Estimating Volatility / Satyajit Das ; 9. Estimating Volatility and Correlation Using ARCH/GARCH Models / Carol Alexander ; 10. Measuring Option Price Sensitivity - The "Greek Alphabet" of Risk / Satyajit Das ; 11. Option Replication Utilizing Delta Hedging / Satyajit Das -- Part 4. Investment management: 12. Portfolio optimization / Geoffrey Briananton ; 13. Risk management for bond porfolios / Roger XCohen ; 14. Portfolio insurance / Steuart Roe ; 15. Indexation of portfolio / Frances Cowell -- Part 5. Risk management: 16. Value ar risk models / Satyajit Das and John Martin ; 17. Portfolio simulation: stress testing techniques / Lance Smith ; 18. Credit risk measurement / Alan Byustany -- Part 6. Mathematical techniques: 19. Mathematical techniques / Thomas R. Gillespie.
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Incluye referencias bibliográficas (páginas xvii-xxvi) e índice.

Part 1. Introduction: 1. Risk-reward Relationships - Foundations of Derivatives / Lance Smith -- Part 2: 2. Interest Rates, Bond Pricing, Duration and Convexity / Roger Cohen ; 3. Interest Rate and Yield Curve Modelling / Satyajit Das and Roger Cohen -- Part 3. Derivate pricing: 4. Pricing Forwards and Futures Contracts / John Martin ; 5. Pricing Options / Satyajit Das ; 6. Interest Rate Option Pricing Models / Jim Rowlands ; 7. Pricing Models for Complex/Exotic Options / Garry de Jager ; 8. Estimating Volatility / Satyajit Das ; 9. Estimating Volatility and Correlation Using ARCH/GARCH Models / Carol Alexander ; 10. Measuring Option Price Sensitivity - The "Greek Alphabet" of Risk / Satyajit Das ; 11. Option Replication Utilizing Delta Hedging / Satyajit Das -- Part 4. Investment management: 12. Portfolio optimization / Geoffrey Briananton ; 13. Risk management for bond porfolios / Roger XCohen ; 14. Portfolio insurance / Steuart Roe ; 15. Indexation of portfolio / Frances Cowell -- Part 5. Risk management: 16. Value ar risk models / Satyajit Das and John Martin ; 17. Portfolio simulation: stress testing techniques / Lance Smith ; 18. Credit risk measurement / Alan Byustany -- Part 6. Mathematical techniques: 19. Mathematical techniques / Thomas R. Gillespie.

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