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Derivatives and Internal Models = Modern Risk Management /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Derivatives and Internal Models/ by Hans-Peter Deutsch, Mark W. Beinker.
其他題名:	Modern Risk Management /
作者:	Deutsch, Hans-Peter.
其他作者:	Beinker, Mark W.
面頁冊數:	XXXII, 897 p. 39 illus.online resource. :
Contained By:	Springer Nature eBook
標題:	Capital market. -
電子資源:	https://doi.org/10.1007/978-3-030-22899-6
ISBN:	9783030228996

Derivatives and Internal Models = Modern Risk Management /
Deutsch, Hans-Peter.

Derivatives and Internal ModelsModern Risk Management /[electronic resource] :by Hans-Peter Deutsch, Mark W. Beinker. - 5th ed. 2019. - XXXII, 897 p. 39 illus.online resource. - Finance and Capital Markets Series. - Finance and Capital Markets Series.

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.

Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader’s own bespoke solutions for valuation and risk management systems.

ISBN: 9783030228996

Standard No.: 10.1007/978-3-030-22899-6doiSubjects--Topical Terms:

556702
Capital market.

LC Class. No.: HG4523

Dewey Class. No.: 332.0415

Derivatives and Internal Models = Modern Risk Management /
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