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Derivatives and internal models Hans-Peter Deutsch.

By: Deutsch, Hans-Peter.
Series: Finance and capital markets: Houndmills, Basingstoke, Hampshire New York, N.Y. Palgrave 2002Edition: 2a. edición.Description: xv, 621 páginas ilustrado 24 cm. + Un Disco Compacto (CD-ROM).ISBN: 0333977068.Subject(s): Risk management | Derivative securities | Valores derivados | Gestión del riesgo (valores)DDC classification: 332.645
Contents:
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
List(s) this item appears in: Economia | Ingeniería Electrónica
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
Libros Libros Biblioteca Central
General 332.645 / D486d (Browse shelf) Ej.1 Available 8000022238
CD Texto (Eliminar) CD Texto (Eliminar) Biblioteca Central
Digital 332.645 / D486d (Browse shelf) Ej.2 Available 8000022239
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"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

El CD-ROM para ser consultado en la Biblioteca Electrónica

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