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Palgrave Macmillan

Derivatives and Internal Models

  • Book
  • © 2002

Overview

Authors:
  1. Hans-Peter Deutsch
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (33 chapters)

  1. Front Matter

    Pages i-xv
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  2. Fundamentals

    1. Front Matter

      Pages 1-1
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    2. Introduction

      • Hans-Peter Deutsch
      Pages 3-5

    3. Legal Environment

      • Hans-Peter Deutsch
      Pages 7-10

    4. Fundamental Risk Factors of Financial Markets

      • Hans-Peter Deutsch
      Pages 11-45

    5. Financial Instruments: A System of Derivatives and Underlyings

      • Hans-Peter Deutsch
      Pages 47-60

  3. Methods

    1. Front Matter

      Pages 61-61
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    2. Overview of the Assumptions

      • Hans-Peter Deutsch
      Pages 63-65

    3. Present Value Methods, Yields and Traditional Risk Measures

      • Hans-Peter Deutsch
      Pages 67-80

    4. Arbitrage

      • Hans-Peter Deutsch
      Pages 81-88

    5. The Black-Scholes Differential Equation

      • Hans-Peter Deutsch
      Pages 89-101

    6. Integral Forms and Analytic Solutions in the Black-Scholes World

      • Hans-Peter Deutsch
      Pages 103-112

    7. Numerical Solutions Using Finite Differences

      • Hans-Peter Deutsch
      Pages 113-146

    8. Binomial and Trinomial Trees

      • Hans-Peter Deutsch
      Pages 147-166

    9. Monte Carlo Simulations

      • Hans-Peter Deutsch
      Pages 167-179

    10. Hedging

      • Hans-Peter Deutsch
      Pages 181-201

    11. Martingale and Numeraire

      • Hans-Peter Deutsch
      Pages 203-227

    12. Interest Rates and Term Structure Models

      • Hans-Peter Deutsch
      Pages 229-279

  4. Instruments

    1. Front Matter

      Pages 281-281
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    2. Spot Transactions on Interest Rates

      • Hans-Peter Deutsch
      Pages 283-306
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Keywords

About this book

The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series analysis, GARCH models, differential equations, finite difference schemes, Martingales and Numeraires.

Reviews

Review of previous edition:

'Whether you are looking for a standard reference or a stand-alone learning guide, Derivatives and Internal Models deserves a place on your bookshelf.' - Risk

About the author

HANS-PETER DEUTSCH is a partner in Andersen Germany and Head of Financial and Commodity Risk Consulting.

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