Derivatives and Internal Models

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9780333977064: Derivatives and Internal Models
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This book gives a comprehensive and thorough insight into all of today's common methods of modern market risk management including coverage of variance, co-variance, historical simulation, Monte Carlo, 'Greek' ratios, and statistical concepts such as volatility and correlation. In addition, all the important modern derivatives and their pricing methods (i.e. present value, Black Scholes, binomial trees, Monte Carlo) are presented and guidelines are given as to exactly which method can be used for which instruments.

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About the Author:

Hans-Peter Deutsch is Head of Financial Risk Consulting at Arthur Andersen, Germany.

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"Whether you are looking for a standard reference or a stand-alone self-learning guide, Derivatives and Internal Models deserves a place on your bookshelf." --Risk Magazine

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Book Description Palgrave MacMillan, United Kingdom, 2002. Hardback. Condition: New. 2nd Revised edition. Language: English . Brand New Book ***** Print on Demand *****. 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. Hundreds of example calculations can be found on the accompanying CD-ROM in form of Microsoft Excel workbooks presenting concrete and detailed realizsations of the concepts discussed in the book. Seller Inventory # APC9780333977064

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Book Description Palgrave MacMillan, United Kingdom, 2002. Hardback. Condition: New. 2nd Revised edition. Language: English . Brand New Book ***** Print on Demand *****.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. Hundreds of example calculations can be found on the accompanying CD-ROM in form of Microsoft Excel workbooks presenting concrete and detailed realizsations of the concepts discussed in the book. Seller Inventory # APC9780333977064

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