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000915805 020__ $$a9783030228996$$q(electronic book)
000915805 020__ $$a3030228991$$q(electronic book)
000915805 020__ $$z9783030228989
000915805 035__ $$aSP(OCoLC)on1123111777
000915805 035__ $$aSP(OCoLC)1123111777
000915805 040__ $$aFIE$$beng$$cFIE$$dGW5XE$$dUKMGB$$dEBLCP$$dOCLCF$$dN$T
000915805 049__ $$aISEA
000915805 050_4 $$aHG6024.A3
000915805 08214 $$a332.0415
000915805 1001_ $$aDeutsch, Hans-Peter.
000915805 24510 $$aDerivatives and Internal Models :$$bModern Risk Management /$$cby Hans-Peter Deutsch, Mark W. Beinker.
000915805 250__ $$a5th ed.
000915805 264_1 $$aCham :$$bPalgrave Macmillan,$$c2019.
000915805 300__ $$a1 online resource (xxxii, 897 pages) :$$billustrations.
000915805 336__ $$atext$$btxt$$2rdacontent
000915805 337__ $$acomputer$$bc$$2rdamedia
000915805 338__ $$aonline resource$$bcr$$2rdacarrier
000915805 4901_ $$aFinance and Capital Markets Series
000915805 5050_ $$a1. Introduction -- 2. Fundamental Risk Factors of Financial Markets -- 3. Financial Instruments: A System of Derivatives and Underlyings -- 4. Overview of the Assumptions -- 5. Present Value Methods, Yields and Traditional Risk Measures -- 6. Arbitrage -- 7. The Black-Scholes Differential Equation -- 8. Integral Forms and Analytic Solutions in the Black-Scholes World -- 9. Binomial and Trinomial Trees -- 10. Numerical Solutions Using Finite Differences -- 11. Monte Carlo Simulations -- 12. Hedging -- 13. Martingales and Numeraires -- 14. Interest Rates and Term Structure Models -- 15. Simple Interest Rate Products -- 16. FX Derivatives -- 17. Variants of Fixed Income Instruments -- 18. Plain Vanilla Options -- 19. Exotic Options -- 20. Credit Risk -- 21. Fundamentals -- 22. The Variance-Covariance Method -- 23. Simulation Methods -- 24. Example of a VaR Computation -- 25. Backtesting: Checking the Applied Methods -- 26. Classical Portfolio Management -- 27. Attributes and their Characteristic Portfolios -- 28. Active Management and Benchmarking -- 29. Construction of the Yield Curve Universe -- 30. Volatility -- 31. Market Parameter from Historical Time Series -- 32. Time Series Modeling -- 33. Forecasting with Time Series Models -- 34. Principal Component Analysis -- 35. Pre-Treatment of Time Series and Assessment of Models.
000915805 506__ $$aAccess limited to authorized users.
000915805 520__ $$aNow in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative--both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader's own bespoke solutions for valuation and risk management systems.--$$cProvided by publisher.
000915805 650_0 $$aCapital market.
000915805 650_0 $$aRisk management.
000915805 650_0 $$aAccounting.
000915805 650_0 $$aEconomics.
000915805 650_0 $$aCorporations$$xFinance.
000915805 650_0 $$aInvestment banking.
000915805 650_0 $$aSecurities.
000915805 7001_ $$aBeinker, Mark W,$$eauthor.$$4aut
000915805 77608 $$iPrint version:$$z9783030228989
000915805 830_0 $$aFinance and capital markets.
000915805 852__ $$bebk
000915805 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-030-22899-6$$zOnline Access$$91397441.1
000915805 909CO $$ooai:library.usi.edu:915805$$pGLOBAL_SET
000915805 980__ $$aEBOOK
000915805 980__ $$aBIB
000915805 982__ $$aEbook
000915805 983__ $$aOnline
000915805 994__ $$a92$$bISE