Name: Derivatives and Internal Models By H. Deutsch
SKU: 9781349307661
Price: 88.99 GBP
Availability: InStock

Derivatives and Internal Models Summary

Derivatives and Internal Models by H. Deutsch

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.

Derivatives and Internal Models Reviews

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

About H. Deutsch

HANS-PETER DEUTSCH is Founder and Managing Director of d-fine, one of the leading financial services consulting firms in Europe. He was formerly a Partner at Arthur Andersen and Head of Financial Risk Consulting in Germany. Dr Deutsch holds a Ph.D. in theoretical physics and is author of many publications in the area of quantitative finance. He is also Guest Lecturer for Mathematical Finance at Oxford University, UK, and Chairman of the Advisory Board of the MathFinance Institute at Goethe University in Frankfurt, Germany.

PART I: FUNDAMENTALS Introduction Fundamental Risk Factors of Financial Markets Financial Instruments: A System of Derivatives and Underlyings PART II: METHODS Overview of the Assumptions 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 Using Finite Differences Binomial and Trinomial Trees Monte-Carlo Simulations Hedging Martingales and Numeraires Interest Rates and Term Structure Models PART III: INSTRUMENTS Spot Transactions on Interest Instruments Forward Transactions on Interest Rates Plain Vanilla Options Exotic Options PART IV: RISK Fundamentals The Variance-Covariance Method Simulation Methods Interest Rate Risk and Cash Flows Example VaR-Computation Backtesting: Checking the Applied Methods PART V: Portfolios Classical Portfolio Management Attributes and their Characteristic Portfolios Active Management and Benchmarking PART VI: 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

NLS9781349307661

ISBN 13

9781349307661

ISBN 10

1349307661

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

2009-06-25

Number of pages

755

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