عنوان

Derivatives and internal models.

(Number (ISBN

1349429996

(Number (ISBN

9781349429998

Number

b554828

Title Proper

Derivatives and internal models.

General Material Designation

[Book]

First Statement of Responsibility

H Deutsch

Place of Publication, Distribution, etc.

[Place of publication not identified]

Name of Publisher, Distributor, etc.

Palgrave Macmillan

Date of Publication, Distribution, etc.

2014

Text of Note

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

Class number

Book number

H Deutsch

H Deutsch

Electronic name

[Book]

Y