Opis: Derivatives and Internal Models 4e - Hans-Peter Deutsch, H Deutsch

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. Companion Website: http://www.palgrave.com/finance/deutsch/ 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.' -RiskPART 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

Szczegóły: Derivatives and Internal Models 4e - Hans-Peter Deutsch, H Deutsch

Tytuł: Derivatives and Internal Models 4e
Autor: Hans-Peter Deutsch, H Deutsch
Producent: Palgrave Macmillan
ISBN: 9780230222151
Rok produkcji: 2009
Ilość stron: 776
Oprawa: Twarda
Waga: 1.2 kg

Recenzje: Derivatives and Internal Models 4e - Hans-Peter Deutsch, H Deutsch