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