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

 - Edited by Satyajit Das. 
 - New York :   McGraw-Hill,   1998. 
 - xxvi, 799 páginas :   tablas, gráficas ;   24 cm. 
<br/><br/>Incluye referencias bibliográficas (páginas xvii-xxvi) e índice. 
<br/><br/>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.  
<br/><br/><label>ISBN: </label>0070153787 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Derivados financieros--Modelos matemáticos<br/>Análisis de inversiones--Modelos matemáticos
<br/><br/><label>Dewey Class. No.: </label>332.645   / R47