Deutsch, Hans-Peter.
Derivatives and internal models Hans-Peter Deutsch. - 2a. edición - xv, 621 páginas ilustrado 24 cm. + Un Disco Compacto (CD-ROM) - Finance and capital markets . - Finance and capital markets .
"Acompañado por un CD-ROM con Microsoft Excel cuaderno de ejercicios presentando realizaciones concretas de los conceptos discutidos en el texto en forma de algoritmo ejecutable"--p. v.
Incluye referencias bibliográficas(p. 599-608) e índice.
Introduction -- Legal environment -- Fundamental risk factors of financial markets -- Financial instruments: A system of derivaties and underlyings -- Overview of the assumptions -- Arbitrage -- The black-scholes differential equation -- Integral forms and analytic solutions in the black-scholes world -- Numerical solutions using finite differences -- Binominal and trinomial trees -- Monte Carlo simulations -- Hedging -- Martingale and numeraire -- Interest rates and term structure models -- Transactions on interest rates -- Forward transactions on interest rates -- Plain vanilla options -- Exotic options -- Structured products and stripping -- Fundamentals -- The variance-covariance method -- Simulation methods -- Interest rate risk and cash flows -- Example of a VaR computation -- Backtesting: Checking the applied methodos -- Interest rate term structures -- Volatility -- Market parameter from historial time series -- Time series modeling -- Forecasting with time series models -- Principle component analysis -- Pre-treatment of time series and assessment of models -- Appendiz A: Probability and statistic
0333977068
Risk management
Derivative securities
Valores derivados
Gestión del riesgo (valores)
332.645 / D486d
Derivatives and internal models Hans-Peter Deutsch. - 2a. edición - xv, 621 páginas ilustrado 24 cm. + Un Disco Compacto (CD-ROM) - Finance and capital markets . - Finance and capital markets .
"Acompañado por un CD-ROM con Microsoft Excel cuaderno de ejercicios presentando realizaciones concretas de los conceptos discutidos en el texto en forma de algoritmo ejecutable"--p. v.
Incluye referencias bibliográficas(p. 599-608) e índice.
Introduction -- Legal environment -- Fundamental risk factors of financial markets -- Financial instruments: A system of derivaties and underlyings -- Overview of the assumptions -- Arbitrage -- The black-scholes differential equation -- Integral forms and analytic solutions in the black-scholes world -- Numerical solutions using finite differences -- Binominal and trinomial trees -- Monte Carlo simulations -- Hedging -- Martingale and numeraire -- Interest rates and term structure models -- Transactions on interest rates -- Forward transactions on interest rates -- Plain vanilla options -- Exotic options -- Structured products and stripping -- Fundamentals -- The variance-covariance method -- Simulation methods -- Interest rate risk and cash flows -- Example of a VaR computation -- Backtesting: Checking the applied methodos -- Interest rate term structures -- Volatility -- Market parameter from historial time series -- Time series modeling -- Forecasting with time series models -- Principle component analysis -- Pre-treatment of time series and assessment of models -- Appendiz A: Probability and statistic
0333977068
Risk management
Derivative securities
Valores derivados
Gestión del riesgo (valores)
332.645 / D486d