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Advanced Derivatives Pricing and Risk Management

Author

Listed:
  • Albanese, Claudio

    (Professor of Mathematical Finance, Imperial College, London, UK)

  • Campolieti, Giuseppe

    (Associate Professor of Mathematics, SHARCNET Chair in Financial Mathematics, Wilfrid Laurier University, Waterloo, Ontario, Canada)

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

Suggested Citation

  • Albanese, Claudio & Campolieti, Giuseppe, 2005. "Advanced Derivatives Pricing and Risk Management," Elsevier Monographs, Elsevier, edition 1, number 9780120476824.
    • Handle: RePEc:eee:monogr:9780120476824
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    Citations

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    Cited by:

    1. Giuseppe Campolieti & Roman N. Makarov & Andrey Vasiliev, 2011. "Bridge Copula Model for Option Pricing," Papers 1110.4669, arXiv.org.
    2. Giuseppe Campolieti & Roman Makarov, 2008. "Path integral pricing of Asian options on state-dependent volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 147-161.
    3. Chung-Han Hsieh, 2020. "Generalization of Affine Feedback Stock Trading Results to Include Stop-Loss Orders," Papers 2004.12848, arXiv.org.
    4. Lee, Dongyeol & Kim, Woo Chang, 2021. "Cost of shareholder engagement by institutional investors under short-swing profit rule," Finance Research Letters, Elsevier, vol. 40(C).
    5. Giuseppe Campolieti & Roman Makarov, 2007. "Pricing Path-Dependent Options On State Dependent Volatility Models With A Bessel Bridge," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 51-88.

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