Derivatives and Internal Models

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Author :
Publisher : Springer Nature
ISBN 13 : 3030228991
Total Pages : 897 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Derivatives and Internal Models by : Hans-Peter Deutsch

Download or read book Derivatives and Internal Models written by Hans-Peter Deutsch and published by Springer Nature. This book was released on 2019-10-08 with total page 897 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader’s own bespoke solutions for valuation and risk management systems.

Derivatives and Internal Models

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Author :
Publisher : Springer
ISBN 13 : 0230502105
Total Pages : 614 pages
Book Rating : 4.2/5 (35 download)

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Book Synopsis Derivatives and Internal Models by : H. Deutsch

Download or read book Derivatives and Internal Models written by H. Deutsch and published by Springer. This book was released on 2016-01-12 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Derivatives and Internal Models, Second Edition

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Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)

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Book Synopsis Derivatives and Internal Models, Second Edition by : Hans-Peter Deutsch

Download or read book Derivatives and Internal Models, Second Edition written by Hans-Peter Deutsch and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Derivatives and Internal Models

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Author :
Publisher : Springer
ISBN 13 : 0230234755
Total Pages : 766 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Derivatives and Internal Models by : H. Deutsch

Download or read book Derivatives and Internal Models written by H. Deutsch and published by Springer. This book was released on 2009-06-24 with total page 766 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a thorough introduction to pricing and risk management of modern financial instruments formulated in precise mathematical language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples.

Derivatives and Internal Models

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Author :
Publisher : Palgrave Macmillan
ISBN 13 : 9780230222151
Total Pages : 0 pages
Book Rating : 4.2/5 (221 download)

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Book Synopsis Derivatives and Internal Models by : H. Deutsch

Download or read book Derivatives and Internal Models written by H. Deutsch and published by Palgrave Macmillan. This book was released on 2009-06-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a thorough introduction to pricing and risk management of modern financial instruments formulated in precise mathematical language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples.

Modern Derivatives Pricing and Credit Exposure Analysis

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Author :
Publisher : Springer
ISBN 13 : 1137494840
Total Pages : 569 pages
Book Rating : 4.1/5 (374 download)

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Book Synopsis Modern Derivatives Pricing and Credit Exposure Analysis by : Roland Lichters

Download or read book Modern Derivatives Pricing and Credit Exposure Analysis written by Roland Lichters and published by Springer. This book was released on 2015-11-15 with total page 569 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

Risk Management of Financial Derivatives

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Author :
Publisher : DIANE Publishing
ISBN 13 : 0788180207
Total Pages : 197 pages
Book Rating : 4.7/5 (881 download)

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Book Synopsis Risk Management of Financial Derivatives by : Barry Leonard

Download or read book Risk Management of Financial Derivatives written by Barry Leonard and published by DIANE Publishing. This book was released on 1999-06 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a framework for evaluating the adequacy of risk management practices of derivative dealers and end-users. More technical information on the various aspects of derivatives risk management, such as evaluating statistical models, is available in the appendix. Separate examination procedures, internal control questions, and verification procedures are provided for dealers and end-users. The examination procedures are designed to be comprehensive. These guidelines and procedures focus principally on off-balance-sheet derivatives and structured notes.

Derivatives

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Publisher : Springer Nature
ISBN 13 : 3030517519
Total Pages : 381 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Derivatives by : Jiří Witzany

Download or read book Derivatives written by Jiří Witzany and published by Springer Nature. This book was released on 2020-11-04 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.

Equity Derivatives and Hybrids

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Publisher : Springer
ISBN 13 : 1137349492
Total Pages : 304 pages
Book Rating : 4.1/5 (373 download)

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Book Synopsis Equity Derivatives and Hybrids by : Oliver Brockhaus

Download or read book Equity Derivatives and Hybrids written by Oliver Brockhaus and published by Springer. This book was released on 2016-04-29 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by a quant with many years of experience in the field this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state-of-the-art models and guidance on how to efficiently implement them with regards to market data representation, calibration, and sensitivity computation. Traders and structurers will learn about structured products, selection of the most appropriate models, as well as efficient hedging methods while risk managers will better understand market, credit, and model risk and find valuable information on advanced correlation concepts. Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: -Empirical properties of stock returns including autocorrelation and jumps -Dividend discount models -Non-Markovian and discrete-time volatility processes -Correlation skew modeling via copula as well as local and stochastic correlation factors -Hybrid modeling covering local and stochastic processes for interest rate, hazard rate, and volatility as well as closed form solutions -Credit, debt, and funding valuation adjustment (CVA, DVA, FVA) -Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling, as well as multilevel. Written in a highly accessible manner with examples, applications, research, and ideas throughout, this book provides a valuable resource for quantitative-minded practitioners and researchers.

Internal Credit Risk Models

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Author :
Publisher : Risk Publications
ISBN 13 :
Total Pages : 392 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Internal Credit Risk Models by : Michael K. Ong

Download or read book Internal Credit Risk Models written by Michael K. Ong and published by Risk Publications. This book was released on 1999 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management.

Market Practice In Financial Modelling

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Publisher : World Scientific Publishing Company
ISBN 13 : 9814434582
Total Pages : 439 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Market Practice In Financial Modelling by : Chia Chiang Tan

Download or read book Market Practice In Financial Modelling written by Chia Chiang Tan and published by World Scientific Publishing Company. This book was released on 2012-07-11 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volatility affects forward smile, or the implications of mean reversion on forward volatility.Key considerations for modelling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics.The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products.With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modelling.

Derivatives Handbook

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Publisher : John Wiley & Sons
ISBN 13 : 9780471157656
Total Pages : 766 pages
Book Rating : 4.1/5 (576 download)

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Book Synopsis Derivatives Handbook by : Robert J. Schwartz

Download or read book Derivatives Handbook written by Robert J. Schwartz and published by John Wiley & Sons. This book was released on 1997-05-23 with total page 766 pages. Available in PDF, EPUB and Kindle. Book excerpt: Der schlechte Ruf der Derivative gründet sich auf Mißbrauch und das hohe Risiko, das mit diesem oft exotisch wirkenden Finanzinstrument verbunden ist. Sie wollen sich unvoreingenommen, besser informieren? Anhand signifikanter Fallstudien führt dieses Buch Sie unter anderem in Techniken des Risikomanagement und Kontrollstrukturen ein.

Innovations in Derivatives Markets

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Publisher : Springer
ISBN 13 : 3319334468
Total Pages : 446 pages
Book Rating : 4.3/5 (193 download)

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Book Synopsis Innovations in Derivatives Markets by : Kathrin Glau

Download or read book Innovations in Derivatives Markets written by Kathrin Glau and published by Springer. This book was released on 2016-12-02 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

Code of Federal Regulations

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Publisher :
ISBN 13 :
Total Pages : 560 pages
Book Rating : 4.:/5 (334 download)

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Book Synopsis Code of Federal Regulations by :

Download or read book Code of Federal Regulations written by and published by . This book was released on 2008 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Code of Federal Regulations, Title 12, Banks and Banking, PT. 220-299, Revised as of January 1, 2010

Download Code of Federal Regulations, Title 12, Banks and Banking, PT. 220-299, Revised as of January 1, 2010 PDF Online Free

Author :
Publisher : Government Printing Office
ISBN 13 : 9780160847783
Total Pages : 1296 pages
Book Rating : 4.8/5 (477 download)

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Book Synopsis Code of Federal Regulations, Title 12, Banks and Banking, PT. 220-299, Revised as of January 1, 2010 by : Office of the Federal Register (U S )

Download or read book Code of Federal Regulations, Title 12, Banks and Banking, PT. 220-299, Revised as of January 1, 2010 written by Office of the Federal Register (U S ) and published by Government Printing Office. This book was released on 2010-04 with total page 1296 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Code of Federal Regulations is a codification of the general and permanent rules published in the Federal Register by the Executive departments and agencies of the United States Federal Government.

Code of Federal Regulations, Title 12, Banks and Banking, PT. 1-199, Revised as of January 1, 2012

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Publisher : Government Printing Office
ISBN 13 : 9780160900839
Total Pages : 1000 pages
Book Rating : 4.9/5 (8 download)

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Book Synopsis Code of Federal Regulations, Title 12, Banks and Banking, PT. 1-199, Revised as of January 1, 2012 by : Office of the Federal Register (U.S.) Staff

Download or read book Code of Federal Regulations, Title 12, Banks and Banking, PT. 1-199, Revised as of January 1, 2012 written by Office of the Federal Register (U.S.) Staff and published by Government Printing Office. This book was released on 2012-04-24 with total page 1000 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Code of Federal Regulations, Title 12, Banks and Banking, Pt. 220-299, Revised as of January 1 2011

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Author :
Publisher : Government Printing Office
ISBN 13 : 9780160875519
Total Pages : 1306 pages
Book Rating : 4.8/5 (755 download)

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Book Synopsis Code of Federal Regulations, Title 12, Banks and Banking, Pt. 220-299, Revised as of January 1 2011 by :

Download or read book Code of Federal Regulations, Title 12, Banks and Banking, Pt. 220-299, Revised as of January 1 2011 written by and published by Government Printing Office. This book was released on 2011-04-25 with total page 1306 pages. Available in PDF, EPUB and Kindle. Book excerpt: