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Palgrave Macmillan

Derivatives and Internal Models

  • Book
  • © 2004

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 (36 chapters)

  1. Front Matter

    Pages i-xvi
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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 11-46

    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 113-147

    8. Binomial and Trinomial Trees

      • Hans-Peter Deutsch
      Pages 149-168

    9. Monte Carlo Simulations

      • Hans-Peter Deutsch
      Pages 169-181

    10. Hedging

      • Hans-Peter Deutsch
      Pages 183-203

    11. Martingales and Numeraires

      • Hans-Peter Deutsch
      Pages 205-229

    12. Interest Rates and Term Structure Models

      • Hans-Peter Deutsch
      Pages 231-281

  4. Instruments

    1. Front Matter

      Pages 283-283
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    2. Spot Transactions on Interest Rates

      • Hans-Peter Deutsch
      Pages 285-309
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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 edition, Deutsch continues with this philosophy covering new and more advanced topics including risk adjusted performance and portfolio optimization. This edition also includes a CD-ROM in the form of Excel workbooks giving detailed models of the concepts discussed in the book.

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 Managing Director of d-fine, a major consultancy firm.

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