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ADVANCED DERIVATIVES PRICING AND RISK MANAGEMENT
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Theory, Tools, and Hands-On Programming Applications
To order this title, and for more information, click here
By
Claudio Albanese, Professor of Mathematical Finance, Imperial College, London, UK
Giuseppe Campolieti, Associate Professor of Mathematics, SHARCNET Chair in Financial Mathematics, Wilfrid Laurier University, Waterloo, Ontario, Canada
Reviews
?Albanese and Campolieti carefully select the most important and relevant topics in financial derivatives pricing and risk management.
Their work strikes a fine balance between theory and financial practice. A dozen carefully designed numerical projects are included that
serve to introduce students to actual implementation issues in pricing and risk management. The book is succinctly written, with clear
and insightful descriptions of state-of-the-art financial models. The style of presentation demonstrates the authors' unique pedagogical
exposition of the quantitative and financial concepts in derivative pricing and risk management. Advanced Derivatives Pricing and Risk
Management is destined to be a valuable text and reference for students and practitioners in the field of financial engineering.? –
Yue Kuen Kwok, Associate Professor, Department of Mathematics, Hong Kong University of Science and Technology
?The set of projects
on the accompanying CDROM give students and professors the opportunity to work in a simulated environment and can be used, as is the
goal here, to train students in building software modules for pricing, hedging, etc. The projects enhance the understanding of the material
and extend the book's usefulness by enabling students to tackle other situations not explicitly addressed in the modules provided. VBA
is easy to learn and can facilitate rapid developments of real applications. In addition, the choice of Excel as the Graphic User Interface
(GUI) is very appropriate. Furthermore, the existence of a built-in visual basic editor allows users to see the code, modify it to suit
different needs and to experiment with it. Hence these features facilitate student learning to produce software themselves.? – Eliezer
Prisman, Nigel Martin Chair in Finance, Director of the Financial Engineering Collaborative Diploma, Schulich School of Business, York
University, Toronto
"...provides a combination of theoretical and practical tools from which any advanced undergraduate and graduate
student, professional quant and researcher will benefit. It differs from existing books in quantitative finance from the ready-to-use
software and accessible theoretical tools provided as a complete package. As a bonus, the book also gives a detailed exposition on cutting-edge
theoretical techniques published here for the first time."
- Technical Analysis of Stocks & Commodities
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