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Deutsch, Hans-Peter

Derivatives and Internal Models

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

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ISBN: 9780230234758
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Table of contents

Part I. Fundamentals

1. Introduction
Hans-Peter Deutsch

2. Fundamental Risk Factors of Financial Markets
Hans-Peter Deutsch

3. Financial Instruments: A System of Derivatives and Underlyings
Hans-Peter Deutsch

Part II. Methods

4. Overview of the Assumptions
Hans-Peter Deutsch

5. Present Value Methods, Yields, and Traditional Risk Measures
Hans-Peter Deutsch

6. Arbitrage
Hans-Peter Deutsch

7. The Black-Scholes Differential Equation
Hans-Peter Deutsch

8. Integral Forms and Analytic Solutions in the Black-Scholes World
Hans-Peter Deutsch

9. Numerical Solutions Using Finite Differences
Hans-Peter Deutsch

10. Binomial and Trinomial Trees
Hans-Peter Deutsch

11. Monte Carlo Simulations
Hans-Peter Deutsch

12. Hedging
Hans-Peter Deutsch

13. Martingales and Numeraires
Hans-Peter Deutsch

14. Interest Rates and Term Structure Models
Hans-Peter Deutsch

Part III. Instruments

15. Spot Transactions on Interest Rates
Hans-Peter Deutsch

16. Forward Transactions on Interest Rates
Hans-Peter Deutsch

17. Plain Vanilla Options
Hans-Peter Deutsch

18. Exotic Options
Hans-Peter Deutsch

Part IV. Risk

19. Fundamental Risk Concepts
Hans-Peter Deutsch

20. The Variance — Covariance Method
Hans-Peter Deutsch

21. Simulation Methods
Hans-Peter Deutsch

22. Interest Rate Risk and Cash Flows
Hans-Peter Deutsch

23. Example of a VaR Computation
Hans-Peter Deutsch

24. Backtesting: Checking the Applied Methods
Hans-Peter Deutsch

Part V. Portfolios

25. Classical Portfolio Management
Hans-Peter Deutsch

26. Attributes and their Characteristic Portfolios
Hans-Peter Deutsch

27. Active Management and Benchmarking
Hans-Peter Deutsch

Part VI. Market Data

28. Interest Rate Term Structures
Hans-Peter Deutsch

29. Volatility
Hans-Peter Deutsch

30. Market Parameter from Historical Times Series
Hans-Peter Deutsch

31. Time Series Modeling
Hans-Peter Deutsch

32. Forecasting With time Series Models
Hans-Peter Deutsch

33. Principal Component Analysis
Hans-Peter Deutsch

34. Pre-Treatment of Time Series and Assessment of Models
Hans-Peter Deutsch

Keywords: Finance, Capital Markets, Risk Management, Accounting/Auditing, Economics, general, Corporate Finance, Investments and Securities

Author(s)
Publisher
Springer
Publication year
2009
Language
en
Edition
4th Edition
Series
Finance and Capital Markets Series
Page amount
773 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780230234758
Printed ISBN
978-1-349-30766-1

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