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: 332.645Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Libros | Biblioteca Central | General | 332.645 / D486d (Browse shelf) | Ej.1 | Available | 8000022238 | ||
CD Texto (Eliminar) | Biblioteca Central | Digital | 332.645 / D486d (Browse shelf) | Ej.2 | Available | 8000022239 |
Browsing Biblioteca Central Shelves , Collection code: General Close shelf browser
332.645 B782e Exotic options and hybrids | 332.645 / B873b Building financial derivatives applications with C++ | 332.645 / C635i Implementing derivatives models | 332.645 / D486d Derivatives and internal models | 332.645 / O'99t The business of options | 332.645 / R852o Option pricing models and volatility using Excel-VBA | 332.645 / SC326i Introduction to modern portfolio optimization with NuOPT and S-PLUS |
"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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