Derivatives and Internal Models : Modern Risk Management / by Hans-Peter Deutsch, Mark W. Beinker.
Deutsch, Hans-Peter.; Beinker, Mark W, author.
2019
HG6024.A3
Available Online

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Title Derivatives and Internal Models : Modern Risk Management / by Hans-Peter Deutsch, Mark W. Beinker.
Author Deutsch, Hans-Peter.
Edition 5th ed.
ISBN 9783030228996 (electronic book)
3030228991 (electronic book)
9783030228989
Published Cham : Palgrave Macmillan, 2019.
Language English
Description 1 online resource (xxxii, 897 pages) : illustrations.
Call Number HG6024.A3
Dewey Decimal Classification 332.0415
Summary 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.-- Provided by publisher.
Access Note Access limited to authorized users.
Added Author Beinker, Mark W, author.
Series Finance and capital markets.
Available in Other Form Print version: 9783030228989
Linked Resources Online Access
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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.

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