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Derivatives and Internal Models

Author: Hans-Peter Deutsch
Publisher: London Palgrave Macmillan UK Imprint: Palgrave Macmillan 2002
Series: Finance and Capital Markets Series
Edition/Format:   Computer file : English : Second editionView all editions and formats
Summary:
The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk,  Read more...
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Details

Additional Physical Format: Printed edition
Material Type: Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Hans-Peter Deutsch
ISBN: 9780230502109 0230502105
OCLC Number: 1075044214
Description: 1 Online-Ressource (XV, 621 Seiten)
Series Title: Finance and Capital Markets Series
Responsibility: by Hans-Peter Deutsch.

Abstract:

The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series analysis, GARCH models, differential equations, finite difference schemes, Martingales and Numeraires

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