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  • © 2009

Derivatives and Internal Models

Palgrave Macmillan

Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (34 chapters)

  1. Front Matter

    Pages i-xviii
  2. Fundamentals

    1. Front Matter

      Pages 1-1
    2. Introduction

      • Hans-Peter Deutsch
      Pages 3-6
    3. Fundamental Risk Factors of Financial Markets

      • Hans-Peter Deutsch
      Pages 7-47
  3. Methods

    1. Front Matter

      Pages 63-63
    2. Overview of the Assumptions

      • Hans-Peter Deutsch
      Pages 65-67
    3. Arbitrage

      • Hans-Peter Deutsch
      Pages 84-93
    4. The Black-Scholes Differential Equation

      • Hans-Peter Deutsch
      Pages 94-108
    5. Numerical Solutions Using Finite Differences

      • Hans-Peter Deutsch
      Pages 121-160
    6. Binomial and Trinomial Trees

      • Hans-Peter Deutsch
      Pages 161-183
    7. Monte Carlo Simulations

      • Hans-Peter Deutsch
      Pages 184-198
    8. Hedging

      • Hans-Peter Deutsch
      Pages 199-223
    9. Martingales and Numeraires

      • Hans-Peter Deutsch
      Pages 224-253
    10. Interest Rates and Term Structure Models

      • Hans-Peter Deutsch
      Pages 254-312
  4. Instruments

    1. Front Matter

      Pages 313-313
    2. Spot Transactions on Interest Rates

      • Hans-Peter Deutsch
      Pages 315-342
    3. Forward Transactions on Interest Rates

      • Hans-Peter Deutsch
      Pages 343-356

About this book

This book provides a thorough introduction to pricing and risk management of modern financial instruments formulated in precise mathematical language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples.

Reviews

Praise for 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

Authors and Affiliations

  • Frankfurt, Germany

    Hans-Peter Deutsch

About the author

HANS-PETER DEUTSCH is Founder and Managing Director of d-fine, one of the leading financial services consulting firms in Europe. He was formerly a Partner at Arthur Andersen and Head of Financial Risk Consulting in Germany. Dr Deutsch holds a Ph.D. in theoretical physics and is author of many publications in the area of quantitative finance. He is also Guest Lecturer for Mathematical Finance at Oxford University, UK, and Chairman of the Advisory Board of the MathFinance Institute at Goethe University in Frankfurt, Germany.

Bibliographic Information

Buy it now

Buying options

eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access