
Derivatives and Internal Models
H. Deutsch(Author)
Palgrave Macmillan (Publisher)
2nd Edition
Published on 3. December 2001
Book
Hardback
XV, 621 pages
978-0-333-97706-4 (ISBN)
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.
Reviews / Votes
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
More details
Series
Edition
Second Edition 2002
Language
English
Place of publication
London
United Kingdom
Target group
Professional and scholarly
Edition type
Revised edition
Product notice
sewn/stitched
Cloth over boards
With dust jacket
Illustrations
5 s/w Abbildungen
XV, 621 p. 5 illus.
Dimensions
Height: 240 mm
Width: 162 mm
Thickness: 37 mm
Weight
1084 gr
ISBN-13
978-0-333-97706-4 (9780333977064)
DOI
10.1057/9780230502109
Schweitzer Classification
Other editions
Additional editions

H. Deutsch
Derivatives and Internal Models
E-Book
01/2016
2nd Edition
Palgrave Macmillan
€149.79
Available for download

H. Deutsch
Derivatives and Internal Models
Book
01/2002
2nd Edition
Palgrave Macmillan
€160.49
Shipment within 15-20 days
Previous edition
Book
11/1998
Palgrave Macmillan
€167.13
Article exhausted; check for reprint
Person
HANS-PETER DEUTSCH is a partner in Andersen Germany and Head of Financial and Commodity Risk Consulting.
Content
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