| 000 | 00863namuu2200265 a 4500 | |
| 001 | 000045531909 | |
| 005 | 20090623101916 | |
| 008 | 090622s1998 enk b 001 0 eng d | |
| 015 | ▼a GB99-12715 | |
| 020 | ▼a 1899332022 | |
| 020 | ▼a 9781899332021 | |
| 040 | ▼a Uk ▼c Uk ▼d DLC ▼d NNC ▼d 211009 | |
| 082 | 0 4 | ▼a 332.645 ▼2 22 |
| 090 | ▼a 332.645 ▼b H4533 | |
| 245 | 0 0 | ▼a Hedging with trees : ▼b advances in pricing and risk managing derivatives / ▼c edited by Mark Broadie and Paul Glasserman. |
| 260 | ▼a London : ▼b Risk , ▼c c1998. | |
| 300 | ▼a xviii, 262 p. ; ▼c 30 cm. | |
| 504 | ▼a Includes bibliographical references and index. | |
| 650 | 0 | ▼a Derivative securities. |
| 650 | 0 | ▼a Risk management. |
| 650 | 0 | ▼a Hedging (Finance) |
| 700 | 1 | ▼a Broadie, Mark Nathan. |
| 700 | 1 | ▼a Glasserman, Paul , ▼d 1962- |
| 945 | ▼a KINS |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 과학도서관/Sci-Info(2층서고)/ | 청구기호 332.645 H4533 | 등록번호 121184037 (2회 대출) | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
책소개
This is a collection of over 35 articles encapsulating recent advances in financial derivatives, selected by two well-represented academics. It includes information on advances in exotic options, computational techniques, VAR and capital management. Other topics include: volatility and correlation, market risk, interest rate models and derivatives, and Parisian pricing.
정보제공 :
목차
CONTENTS Preface = ⅴ Contributors = viii Ⅰ. EXOTIC OPTIONS Introduction / Mark Broadie ; Paul Glasserman = 3 1 Building on Black-Scholes / Robert Whaley = 7 2 Discrete by Nature / Edmond Levy ; Francois Mantion = 17 3 Breaking Down Barriers / Terry Cheuk ; Ton Vorst = 21 4 Exact Exotics / Leif Andersen ; Rupert Brotherton-Ratcliffe = 25 5 Breaking Barriers / Peter Carr ; Andrew Chou = 31 6 Parisian Pricing / Marc Chesney ; John Cornwall ; Monique Jeanblanc-Piqu$$e'$$ ; Glenn Kentwell ; Marc Yor = 39 7 Steps to the Barrier / Vadim Linetsky = 43 8 Passport to Success / Tom Hyer ; Alexander Lipton-Lifschitz ; Dmitry Pugachevsky = 49 9 Brick by Brick / Ronald Heynen ; Harry Kat = 57 10 On Neutral Ground / Ajay Gupta = 63 11 Less is More / Donald Mintz = 69 12 Swing Low, Swing High / Robert Zvan ; Kenneth Vetzal ; Peter Forsyth = 75 13 Flexible Friends / James Angel ; Gary Gastineau ; Clifford Weber = 81 Ⅱ. INTEREST RATE MODELS AND DERIVATIVES Introduction / Mark Broadie ; Paul Glasserman = 89 14 Sorting Out Swaptions / Farshid Jamshidian = 97 15 Fit and Run / Phil Hunt, Joanne Kennedy and Antoon Pelsser = 101 16 Gaussian Errors / Chris Rogers = 105 17 One for All / Chris Rogers = 111 18 Positive Interest / Bjorn Flesaker ; Lane Hughston = 115 19 When Swaps are Dropped / Robert Jarrow ; Stuart Turnbull = 125 20 Near Nirvana / Peter Ritchken ; L. Sankarasubramanian = 133 21 Lattice Works / Anlong Li ; Peter Ritchken ; L. Sankarasubramanian = 139 Ⅲ. VOLATILITY AND CORRELATION Introduction / Mark Broadie ; Paul Glasserman = 147 22 Grappling with Garch / Robert Engle ; Joseph Mezrich = 151 23 Garch for Groups / Robert Engle ; Joseph Mezrich = 159 24 Cracking the Smile / Jin-Chuan Duan = 167 25 Growing a Smiling Tree / Stanko Barle ; Nusret Cakici = 173 26 Transatlantic Trees / Neil Chriss = 179 27 Reconciling Differences / Ronald Lagnado ; Stanley Osher = 185 28 Pricing with a Difference / Neil Chriss ; Kostas Tsiveriotis = 191 Ⅳ. MARKET RISK, VAR AND CAPITAL MANAGEMENT Introduction / Mark Broadie ; Paul Glasserman = 199 29 Going Greek with VAR / Christophe Rouvinez = 203 30 Taking VAR to pieces / Mark Garman = 213 31 Hot Spots and Hedges (Ⅰ) / Robert Litterman = 215 32 Hot Spots and Hedges (Ⅱ) / Robert Litterman = 221 33 Thinking Coherently / Philippe Artzner ; Freddy Delbaen ; Jean-Marc Eber ; David Heath = 229 34 Scale Models / Francis Diebold ; Andrew Hickman ; Atsushi Inoue ; Til Schuermann = 233 35 Living on the Edge / Paul Embrechts ; Sidney Resnick ; Gennady Samorodnitsky = 239 36 The Cost of Conservatism / Jon Danielsson ; Philipp Hartmann ; Casper de Vries = 245 37 Three Cheers / Gerhard Stahl = 251 38 Tolerance for Risk / William Morokoff ; Ron Lagnado ; Art Owen = 255 Index = 261