CLAUDIO ALBANESE – ADVANCED DERIVATES PRICING & RISK MANAGEMENT

The purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant and researcher will benefit. The impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package is what distinguishes this book from other existing books in quantitative finance. The authors cover core topics in derivative pricing and risk management in a way that is engaging, accessible and self-instructional. 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. After years of classroom lectures and computer laboratory courses taught in a world- renowned professional Master’s program in mathematical finance, core portions of the book’s material evolved. The book gives a detailed exposition on new cutting-edge theoretical techniques with many results that are published here for the first time. This work includes easy-to-implement VB/VBA numerical software libraries, proceeds from simple to complex in approaching pricing and risk management problems, and provides analytical methods to derive cutting-edge pricing formulas for equity derivatives.

Advanced Derivates Pricing & Risk Management can be downloaded for free.