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Finance and Capital Markets Series
cover

Derivatives and Internal Models

Modern Risk Management

Authors: Deutsch, Hans-Peter, Beinker, Mark

  • Provides an introduction to the valuation and risk management of modern financial instrumentsIncludes updates to reflect the myriad of changes the industry has seen over the past 5 yearsCovers new and more advanced topics including risk adjusted performance and portfolio optimizationFeature a number of real world illustrations and downloadable excel spreadsheets with hundreds of practical examples

Buy this book

eBook $59.99
price for USA (gross)
  • The eBook version of this title will be available soon
  • Due: December 18, 2019
  • ISBN 978-3-030-22899-6
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover $99.99
price for USA
  • Customers within the U.S. and Canada please contact Customer Service at +1-800-777-4643, Latin America please contact us at +1-212-460-1500 (24 hours a day, 7 days a week).
  • Due: November 20, 2019
  • ISBN 978-3-030-22898-9
  • Free shipping for individuals worldwide
About this book

Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools.  

The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. 

The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation.

The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader’s own bespoke solutions for valuation and risk management systems.


About the authors

Hans-Peter Deutsch is one of the founders of d-fine, a leading financial services consulting firm in Europe. Previously, he was a Partner at Arthur Andersen and head of Andersen’s Financial and Commodity Risk Consulting (FCRC) in Germany, which he founded in 1997. He holds a PhD in theoretical physics and is the author of roughly 20 international scientific publications in this field. He is also author of many publications in the field of mathematical finance including books on quantitative portfolio management, derivatives pricing and risk management.  For many years Dr. Deutsch has been a guest lecturer and member of the Advisory Board of the Mathematical Finance Programme at the University of Oxford, UK, and also Chairman of the Advisory Board of the MathFinance Institute at Johann Wolfgang Goethe-Universität in Frankfurt, Germany. He was also a member of the supervisory board of GET-Capital AG, a German asset management firm, which manages large asset portfolios for institutional investors using a state of the art quantitative method and software system developed by Dr. Deutsch himself.

Mark W. Beinker serves as Managing Director at d-fine GmbH. Dr. Beinker is responsible for the financial engineering business unit and manages projects in development and implementation of models for valuation and risk sensitivity calculation of structured financial products, approval of valuation methods and tools, risk analysis and re-engineering of financial transactions, integration of valuation libraries into the existing system environment, introduction of innovative financial products, development of hedging strategies and the outsourcing of product valuation services. In addition, Dr. Beinker is responsible for the valuation platform MoCo. His professional career began at Arthur Andersen where he held the position of Manager within in the Financial and Commodity Risk Consulting (FCRC) group in Germany. Though he participated in a broad range of projects throughout is business career, the valuation of financial derivatives has been his focus since 1997. Dr. Beinker earned his PhD at the universities of TU Dresden and Duke University, USA.


Buy this book

eBook $59.99
price for USA (gross)
  • The eBook version of this title will be available soon
  • Due: December 18, 2019
  • ISBN 978-3-030-22899-6
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover $99.99
price for USA
  • Customers within the U.S. and Canada please contact Customer Service at +1-800-777-4643, Latin America please contact us at +1-212-460-1500 (24 hours a day, 7 days a week).
  • Due: November 20, 2019
  • ISBN 978-3-030-22898-9
  • Free shipping for individuals worldwide

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Bibliographic Information

Bibliographic Information
Book Title
Derivatives and Internal Models
Book Subtitle
Modern Risk Management
Authors
Series Title
Finance and Capital Markets Series
Copyright
2019
Publisher
Palgrave Macmillan
Copyright Holder
The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG
eBook ISBN
978-3-030-22899-6
DOI
10.1007/978-3-030-22899-6
Hardcover ISBN
978-3-030-22898-9
Edition Number
5
Number of Pages
XXXII, 896
Number of Illustrations
39 b/w illustrations
Topics