Login

Deutsch, Hans-Peter

Derivatives and Internal Models

Deutsch, Hans-Peter - Derivatives and Internal Models, ebook

168,60€

Ebook, PDF with Adobe DRM
ISBN: 140-394-608-6
DRM Restrictions

PrintingNot allowed
Copy to clipboardNot allowed

Description
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.
Contents
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
Author Biographies
HANS-PETER DEUTSCH is Managing Director of d-fine, a major consultancy firm.
Printing of the book is limited to 10 pages per day.

Keywords: finance, capital, market, fundamental, framework, risk factor, instrument

Author(s)
Publisher
Palgrave Macmillan Ltd
Publication year
2001
Language
en
Edition
2
Page amount
638 pages
Category
General Works
Format
Ebook
eISBN (PDF)
140-394-608-6

Similar titles