Derivatives and Internal Models

by H. Deutsch

Overview

The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series analysis, GARCH models, differential equations, finite difference schemes, Martingales and Numeraires.

Product Details

ISBN-13:	9781349429998
Publisher:	Palgrave Macmillan UK
Publication date:	01/01/2002
Series:	Finance and Capital Markets Series
Edition description:	2nd ed. 2002
Pages:	621
Product dimensions:	6.69(w) x 9.61(h) x (d)

About the Author

HANS-PETER DEUTSCH is a partner in Andersen Germany and Head of Financial and Commodity Risk Consulting.

Table of Contents

PART I: FUNDAMENTALS Introduction Legal Framework Fundamental Risk Factors of Financial Markets Financial Instruments Derivatives and Underlyings PART II: METHODS Overview of the Assumptions for Different Valuation Methods 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 Rate Transactions 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 Organizational Implementation of Risk Management PART V: MARKET DATA Term Structure Volatilities Time Series Analysis Probability 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

From the Publisher