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Derivatives and Internal Models : Finance and Capital Markets Series - H. Deutsch

Derivatives and Internal Models

Finance and Capital Markets Series

Hardcover

Published: 18th December 2003
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The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this edition, Deutsch continues with this philosophy covering new and more advanced topics including risk adjusted performance and portfolio optimization. This edition also includes a CD-ROM in the form of Excel workbooks giving detailed models of the concepts discussed in the book.

Review of 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

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
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9781403921505
ISBN-10: 1403921504
Series: Finance and Capital Markets Series
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 698
Published: 18th December 2003
Publisher: Palgrave USA
Country of Publication: US
Dimensions (cm): 23.5 x 15.5  x 4.45
Weight (kg): 1.23
Edition Number: 3
Edition Type: Revised