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Derivatives and Internal Models

  • Authors
  • Hans-Peter┬áDeutsch

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xv
  2. Fundamentals

    1. Front Matter
      Pages 1-1
    2. Hans-Peter Deutsch
      Pages 3-5
    3. Hans-Peter Deutsch
      Pages 7-10
    4. Hans-Peter Deutsch
      Pages 11-45
  3. Methods

    1. Front Matter
      Pages 61-61
    2. Hans-Peter Deutsch
      Pages 63-65
    3. Hans-Peter Deutsch
      Pages 81-88
    4. Hans-Peter Deutsch
      Pages 89-101
    5. Hans-Peter Deutsch
      Pages 113-146
    6. Hans-Peter Deutsch
      Pages 147-166
    7. Hans-Peter Deutsch
      Pages 167-179
    8. Hans-Peter Deutsch
      Pages 181-201
    9. Hans-Peter Deutsch
      Pages 203-227
    10. Hans-Peter Deutsch
      Pages 229-279
  4. Instruments

    1. Front Matter
      Pages 281-281
    2. Hans-Peter Deutsch
      Pages 283-306
    3. Hans-Peter Deutsch
      Pages 307-318
    4. Hans-Peter Deutsch
      Pages 319-337
    5. Hans-Peter Deutsch
      Pages 339-361
    6. Hans-Peter Deutsch
      Pages 363-370
  5. Risk

    1. Front Matter
      Pages 371-371
    2. Hans-Peter Deutsch
      Pages 373-390
    3. Hans-Peter Deutsch
      Pages 391-418
    4. Hans-Peter Deutsch
      Pages 419-425
    5. Hans-Peter Deutsch
      Pages 427-444
    6. Hans-Peter Deutsch
      Pages 445-449
    7. Hans-Peter Deutsch
      Pages 451-458
  6. Market Data

    1. Front Matter
      Pages 459-459
    2. Hans-Peter Deutsch
      Pages 461-473
    3. Hans-Peter Deutsch
      Pages 475-493
    4. Hans-Peter Deutsch
      Pages 495-504
    5. Hans-Peter Deutsch
      Pages 505-523
    6. Hans-Peter Deutsch
      Pages 525-537
    7. Hans-Peter Deutsch
      Pages 539-547
  7. Back Matter
    Pages 565-621

About this book

Introduction

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.

Keywords

management organization risk management

Bibliographic information

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