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Derivatives and Internal Models de H. Deutsch

Derivatives and Internal Models: Finance and Capital Markets Series

Autor H. Deutsch
en Limba Engleză Paperback – 25 iun 2009
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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Specificații

ISBN-13: 9781349307661
ISBN-10: 1349307661
Pagini: 773
Ilustrații: XVIII, 755 p. 762 illus.
Dimensiuni: 152 x 229 x 39 mm
Greutate: 1.02 kg
Ediția:4th ed. 2009
Editura: Palgrave Macmillan UK
Colecția Palgrave Macmillan
Seria Finance and Capital Markets Series

Locul publicării:London, United Kingdom

Cuprins

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

Recenzii

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

Notă biografică

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.