Name: Derivatives and Internal Models By H. Deutsch
SKU: 9781349515424
Price: 425.49 AUD
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Derivatives and Internal Models Summary

Derivatives and Internal Models by H. Deutsch

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.

Derivatives and Internal Models Reviews

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

About H. Deutsch

HANS-PETER DEUTSCH is Managing Director of d-fine, a major consultancy firm.

PART I: FUNDAMENTALS Introduction Legal Framework Fundamental Risk Factors of Financial Markets Financial Instruments - A System of Derivatives and Underlyings PART II: 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 PART III: INSTRUMENTS Spot Transactions on Interest Instruments Forward Transactions on Interest Rates Plain Vanilla Options Exotic Options Structured Products and Stripping PART IV: 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 PART V: 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

Additional information

Sku

NLS9781349515424

ISBN 13

9781349515424

ISBN 10

1349515426

Title

Derivatives and Internal Models by H. Deutsch

Author

H. Deutsch

Series

Finance and Capital Markets Series

Condition

New

Binding type

Paperback

Publisher

Palgrave Macmillan

Year published

2004-01-01

Number of pages

698

Prizes

N/A

Cover note

Book picture is for illustrative purposes only, actual binding, cover or edition may vary.

Note

This is a new book - be the first to read this copy. With untouched pages and a perfect binding, your brand new copy is ready to be opened for the first time

Derivatives and Internal Models H. Deutsch

Derivatives and Internal Models by H. Deutsch

Summary

Derivatives and Internal Models Summary

Derivatives and Internal Models by H. Deutsch

Derivatives and Internal Models Reviews

About H. Deutsch

Table of Contents

Additional information

Customer Reviews - Derivatives and Internal Models