H. Deutsch

Derivatives and Internal Models (eBook, PDF)

• Format: PDF

Produktbeschreibung

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. Accompanying website with hundreds of real world examples.

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Produktdetails

• Verlag: Palgrave Macmillan UK
• Seitenzahl: 755
• Erscheinungstermin: 24. Juni 2009
• Englisch
• ISBN-13: 9780230234758
• Artikelnr.: 44923507

Autorenporträt

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 finance. He is also Guest Lecturer for Mathematical Finance at Oxford University, UK, and Chairman of the Advisory Board of the MathFinance Institute at Goethe University in Frankfurt, Germany.

Inhaltsangabe

1. Introduction.- 2. Fundamental Risk Factors of Financial Markets.- 3. Financial Instruments: A System of Derivatives and Underlyings.- 4. Overview of the Assumptions.- 5. Present Value Methods, Yields and Traditional Risk Measures.- 6. Arbitrage.- 7. The Black-Scholes Differential Equation.- 8. Integral Forms and Analytic Solutions in the Black-Scholes World.- 9. Binomial and Trinomial Trees.- 10. Numerical Solutions Using Finite Differences.- 11. Monte Carlo Simulations.- 12. Hedging .- 13. Martingales and Numeraires.- 14. Interest Rates and Term Structure Models.- 15. Simple Interest Rate Products.- 16. FX Derivatives.- 17. Variants of Fixed Income Instruments.- 18. Plain Vanilla Options.- 19. Exotic Options.- 20. Credit Risk.- 21. Fundamentals.- 22. The Variance-Covariance Method.- 23. Simulation Methods.- 24. Example of a VaR Computation.- 25. Backtesting: Checking the Applied Methods.- 26. Classical Portfolio Management.- 27. Attributes and their Characteristic Portfolios.-28. Active Management and Benchmarking.- 29. Construction of the Yield Curve Universe.- 30. Volatility.- 31. Market Parameter from Historical Time Series.- 32. Time Series Modeling.- 33. Forecasting with Time Series Models.- 34. Principal Component Analysis.- 35. Pre-Treatment of Time Series and Assessment of Models.