Derivatives and Internal Models

By: H. Deutsch

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Hardcover | 1 July 2009 | Edition Number 4

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This book provides a thorough introduction to pricing and risk management of modern financial instruments formulated in precise mathematical language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples.

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Praise for previous edition: 'Whether you are looking for a standard reference or a stand-alone learning guide, Derivatives and Internal Models deserves a place on your bookshelf.' -Risk

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Non-Fiction Business & Management Management & Management Techniques Management Decision Making Accounting & Finance Finance Investment & Securities Corporate Finance Economics

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Paperback

Published: 25th June 2009

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Fundamentals Introduction Legal Framework Fundamental Risk Factors of Financial Markets Financial Instruments
A System of Derivatives and Underlyings
Methods Overview of the Assumptions for Different Valuation Methods Present Value Methods, Yields and Traditional Risk Measures Arbitrage The Black-Scholes Differential Equation Integral Forms and Analytic Solutions in the Black-Scholes World Numerical Solutions of Differential Equations using Finite Differences Binomial and Trinomial Trees Monte-Carlo Simulations Hedging Martingale and Numeraire Interest Rates and Term Structure Models
Instruments Spot Transactions on Interest Instruments Forward Transactions on Interest Rates Plain Vanilla Options Exotic Options Structured Products and Stripping
Risk Fundamentals The Variance-Covariance Method Simulation Methods Interest Rate Risk and Cash Flows Example VaR-Computation Backtesting: Checking the Applied Methods Risk Adjusted Return and Portfolio Theory
Market Data Interest Rate Term Structures Volatility Market Parameter from Historical Time Series Time Series Modelling Forecasting with Time Series Models Principle Component Analysis Pre-Treatment of Time Series and Assesment of Models Probabiltiy and Statistics
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Derivatives and Internal Models

Industry Reviews

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You Can Find This Book In

Other Editions and Formats

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