Advanced Derivatives Pricing And Risk Management (Hardcover, CD-ROM)

I Pricing Theory and Risk Management 11
1 Pricing Theory 13
2 Fixed Income Instruments 135
3 Advanced Topics in Pricing Theory: Exotic Options and State Dependent
Models 175
4 Numerical Methods for Value-at-Risk 275
II Numerical Projects in Pricing and Risk Management 353
5 Project: Arbitrage Theory 355
6 Project: The Black-Scholes (Lognormal) Model 361
7 Project: Quantile-quantile plots 367
8 Project: Monte Carlo Pricer 371
9 Project: The Binomial Lattice Model 377
10 Project: The Trinomial Lattice Model 383
11 Project: Crank-Nicolson option pricer 393
12 Project: Static Hedging of Barrier Options 399
13 Project: Variance Swaps 409
14 Project: Monte Carlo VaR for Delta-Gamma Portfolios 415
15 Project: Covariance estimation and scenario generation in VaR 421
16 Project: Interest Rate Trees: Calibration and Pricing 425