
Derivatives and Internal Models
H. Deutsch(Author)
Palgrave Macmillan (Publisher)
4th Edition
Published on 25. June 2009
Book
Hardback
XVIII, 755 pages
978-0-230-22215-1 (ISBN)
Article exhausted; check for reprint
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.
Reviews / Votes
Praise for 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
More details
Series
Edition
4th ed. 2009
Language
English
Place of publication
London
United Kingdom
Target group
Professional and scholarly
Edition type
Revised edition
Illustrations
762 s/w Abbildungen
762 Illustrations, black and white; XVIII, 755 p. 762 illus.
Dimensions
Height: 22.9 cm
Width: 15.2 cm
Weight
1269 gr
ISBN-13
978-0-230-22215-1 (9780230222151)
DOI
10.1057/9780230234758
Schweitzer Classification
Other editions
New editions

Book
10/2019
5th Edition
Palgrave Macmillan
€106.99
Shipment within 7-9 days
Additional editions

H. Deutsch
Derivatives and Internal Models
Book
06/2009
4th Edition
Palgrave Macmillan
€106.99
Shipment within 15-20 days

H. Deutsch
Derivatives and Internal Models
E-Book
06/2009
4th Edition
Palgrave Macmillan
€96.29
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Person
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.
Content
PART I: FUNDAMENTALS Introduction Fundamental Risk Factors of Financial Markets Financial Instruments: A System of Derivatives and Underlyings PART II: METHODS Overview of the Assumptions Present Value Methods, Yields and Traditional Risk Measures Arbitrage The Black-Scholes Differential Equation Integral Forms and Analytic Solutions in the Black-Scholes World Numerical Solutions Using Finite Differences Binomial and Trinomial Trees Monte-Carlo Simulations Hedging Martingales and Numeraires Interest Rates and Term Structure Models PART III: INSTRUMENTS Spot Transactions on Interest Instruments Forward Transactions on Interest Rates Plain Vanilla Options Exotic Options PART IV: RISK Fundamentals The Variance-Covariance Method Simulation Methods Interest Rate Risk and Cash Flows Example VaR-Computation Backtesting: Checking the Applied Methods PART V: Portfolios Classical Portfolio Management Attributes and their Characteristic Portfolios Active Management and Benchmarking PART VI: MARKET DATA Interest Rate Term Structures Volatility Market Parameter from Historical Time Series Time Series Modelling Forecasting with Time Series Models Principle Component Analysis Pre-Treatment of Time Series and Assesment of Models Probabiltiy and Statistics