Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Derivatives and Internal Models PDF full book. Access full book title Derivatives and Internal Models by H. Deutsch. Download full books in PDF and EPUB format.
Author: H. Deutsch Publisher: Springer ISBN: 0230234755 Category : Business & Economics Languages : en Pages : 766
Book Description
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.
Author: H. Deutsch Publisher: Springer ISBN: 0230234755 Category : Business & Economics Languages : en Pages : 766
Book Description
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.
Author: Hans-Peter Deutsch Publisher: Springer Nature ISBN: 3030228991 Category : Business & Economics Languages : en Pages : 898
Book Description
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.
Author: Roland Lichters Publisher: Springer ISBN: 1137494840 Category : Business & Economics Languages : en Pages : 569
Book Description
This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.
Author: H. Deutsch Publisher: Springer ISBN: 0230502105 Category : Business & Economics Languages : en Pages : 614
Book Description
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.
Author: Jiří Witzany Publisher: Springer Nature ISBN: 3030517519 Category : Business & Economics Languages : en Pages : 381
Book Description
This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.
Author: H. Deutsch Publisher: Springer ISBN: 1403946086 Category : Business & Economics Languages : en Pages : 686
Book Description
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 edition, Deutsch continues with this philosophy covering new and more advanced topics including risk adjusted performance and portfolio optimization. This edition also includes a CD-ROM in the form of Excel workbooks giving detailed models of the concepts discussed in the book.
Author: Publisher: ISBN: Category : Administrative law Languages : en Pages : 552
Book Description
Special edition of the Federal Register, containing a codification of documents of general applicability and future effect ... with ancillaries.
Author: Office of the Federal Register (U S ) Publisher: Government Printing Office ISBN: 9780160847783 Category : Business & Economics Languages : en Pages : 1296
Book Description
The Code of Federal Regulations is a codification of the general and permanent rules published in the Federal Register by the Executive departments and agencies of the United States Federal Government.
Author: Office of the Federal Register (U.S.) Staff Publisher: Government Printing Office ISBN: 9780160900839 Category : Business & Economics Languages : en Pages : 1000
Author: H. Deutsch
Author: H. Deutsch
Author: Hans-Peter Deutsch
Author: Roland Lichters
Author: H. Deutsch
Author: 
Author: Jiří Witzany
Author: H. Deutsch
Author: 
Author: Office of the Federal Register (U S )
Author: Office of the Federal Register (U.S.) Staff