Name: Derivatives and Internal Models By H. Deutsch
SKU: 9780333977064
Price: 201.49 USD
Availability: InStock

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 new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series analysis, GARCH models, differential equations, finite difference schemes, Martingales and Numeraires.

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 a partner in Andersen Germany and Head of Financial and Commodity Risk Consulting.

PART I: FUNDAMENTALS Introduction Legal Framework Fundamental Risk Factors of Financial Markets Financial Instruments Derivatives and Underlyings PART II: METHODS Overview of the Assumptions for Different Valuation Methods 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 Rate Transactions 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 Organizational Implementation of Risk Management PART V: MARKET DATA Term Structure Volatilities Time Series Analysis Probability and Statistics

Additional information

Sku

NPB9780333977064

ISBN 13

9780333977064

ISBN 10

0333977068

Title

Derivatives and Internal Models by H. Deutsch

Author

H. Deutsch

Series

Finance and Capital Markets Series

Condition

New

Binding type

Hardback

Publisher

Palgrave Macmillan

Year published

2001-12-03

Number of pages

621

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