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Derivatives and internal models

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Derivatives and internal models/ Hans-PeterDeutsch.
作者:	Deutsch, Hans-Peter.
出版者:	Basingstoke [England] ;Palgrave Macmillan, : 2009.,
面頁冊數:	xviii, 755 p. :ill. ;25 cm.
附註:	Previous ed.: 2004.
內容註:	PART I: FUNDAMENTALS -- Introduction -- Fundamental Risk Factors of Financial Markets -- Financial Instruments: A System of Derivatives andUnderlyings -- PART II: METHODS -- Overview of the Assumptions -- Present Value Methods, Yields and Traditional Risk Measures -- Arbitrage --The Black-Scholes Differential Equation -- Integral Forms and AnalyticSolutions 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.
標題:	Derivative securities. -
電子資源:	http://link.springer.com/10.1057/9780230234758access to fulltext (Palgrave)
ISBN:	0230234755

Derivatives and internal models
Deutsch, Hans-Peter.

Derivatives and internal models[electronic resource] /Hans-PeterDeutsch. - 4th ed. - Basingstoke [England] ;Palgrave Macmillan,2009. - xviii, 755 p. :ill. ;25 cm. - Finance and capital markets series. - Finance and capital markets..

Previous ed.: 2004.

Includes bibliographical references and index.

PART I: FUNDAMENTALS -- Introduction -- Fundamental Risk Factors of Financial Markets -- Financial Instruments: A System of Derivatives andUnderlyings -- PART II: METHODS -- Overview of the Assumptions -- Present Value Methods, Yields and Traditional Risk Measures -- Arbitrage --The Black-Scholes Differential Equation -- Integral Forms and AnalyticSolutions 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.

Now in its fourth edition, this classic book 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 accompanying website http://www.palgrave.com/deutsch contains tried and tested executable spreadsheets with hundreds of detailed, real world examples. In this book, Dr. Hans-Peter Deutsch providesinsight 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. He also shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk adjusted performance measures and a completepresentation of modern quantitative portfolio optimization. Furthermore, all the important modernderivatives 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. All these methods are explained with adequate mathematical rigor and in great detail both in theory and with the help of hundreds of spreadsheet examples using one consistent logical approach and notation. This book should enable any bank to create and implement its own so-called "internal" risk models. The new edition is completely updated. Formulations have been streamlined to make the topics even more accessible and the explanations even more understandable.

Electronic reproduction.
Basingstoke, England :
Palgrave Macmillan,
2009.

Mode of access:World Wide Web.

ISBN: 0230234755

Standard No.: 10.1057/9780230234758doiSubjects--Topical Terms:

656187
Derivative securities.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HD61 / .D48 2009

Dewey Class. No.: 332.632042

Derivatives and internal models
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300 $a xviii, 755 p. : $b ill. ; $c 25 cm.
490 1 $a Finance and capital markets series
500 $a Previous ed.: 2004.
504 $a Includes bibliographical references and index.
505 0 $a PART I: FUNDAMENTALS -- Introduction -- Fundamental Risk Factors of Financial Markets -- Financial Instruments: A System of Derivatives andUnderlyings -- PART II: METHODS -- Overview of the Assumptions -- Present Value Methods, Yields and Traditional Risk Measures -- Arbitrage --The Black-Scholes Differential Equation -- Integral Forms and AnalyticSolutions 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.
520 $a Now in its fourth edition, this classic book 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 accompanying website http://www.palgrave.com/deutsch contains tried and tested executable spreadsheets with hundreds of detailed, real world examples. In this book, Dr. Hans-Peter Deutsch providesinsight 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. He also shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk adjusted performance measures and a completepresentation of modern quantitative portfolio optimization. Furthermore, all the important modernderivatives 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. All these methods are explained with adequate mathematical rigor and in great detail both in theory and with the help of hundreds of spreadsheet examples using one consistent logical approach and notation. This book should enable any bank to create and implement its own so-called "internal" risk models. The new edition is completely updated. Formulations have been streamlined to make the topics even more accessible and the explanations even more understandable.
533 $a Electronic reproduction. $b Basingstoke, England : $c Palgrave Macmillan, $d 2009. $n Mode of access:World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on July 24, 2009). $n Access may be restricted to users at subscribing institutions.
650 0 $a Derivative securities. $3 656187
650 0 $a Risk management. $3 540477
655 7 $a Electronic books. $2 lcsh $3 542853
710 2 $a Palgrave Connect (Online service) $3 1081578
830 0 $a Finance and capital markets. $3 910591
856 4 0 $3 Palgrave Connect $u http://link.springer.com/10.1057/9780230234758 $z access to fulltext (Palgrave)