Derivatives and Internal Models

Hardcover | July 15, 2009

byHans-Peter Deutsch

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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. There is also an accompanying website with hundreds of real world examples.
 

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From the Publisher

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. There is also an accompanying website with hundre...

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 f...
Format:HardcoverDimensions:700 pages, 9 × 6 × 1.62 inPublished:July 15, 2009Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230222153

ISBN - 13:9780230222151

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Extra Content

Table of 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

Editorial 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