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" Derivatives and internal models. "
H Deutsch
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BL
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| Record Number
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734993
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b554828
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| Main Entry
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H Deutsch
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| Title & Author
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Derivatives and internal models.\ H Deutsch
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| Publication Statement
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[Place of publication not identified]: Palgrave Macmillan, 2014
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| ISBN
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1349429996
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: 9781349429998
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| Contents
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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
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| LC Classification
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HD61.H348 2014
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| Added Entry
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H Deutsch
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