LEADER 05693nam 22008295 450 001 9910349526303321 005 20251027143914.0 010 $a9783030228996 010 $a3030228991 024 7 $a10.1007/978-3-030-22899-6 035 $a(CKB)4100000009453348 035 $a(DE-He213)978-3-030-22899-6 035 $a(MiAaPQ)EBC5939517 035 $a(EXLCZ)994100000009453348 100 $a20191008d2019 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aDerivatives and Internal Models $eModern Risk Management /$fby Hans-Peter Deutsch, Mark W. Beinker 205 $a5th ed. 2019. 210 1$aCham :$cSpringer International Publishing :$cImprint: Palgrave Macmillan,$d2019. 215 $a1 online resource (XXXII, 897 p. 39 illus.) 225 1 $aFinance and Capital Markets Series,$x2946-2029 311 08$a9783030228989 311 08$a3030228983 327 $a1. Introduction -- 2. Fundamental Risk Factors of Financial Markets -- 3. Financial Instruments: A System of Derivatives and Underlyings -- 4. Overview of the Assumptions -- 5. Present Value Methods, Yields and Traditional Risk Measures -- 6. Arbitrage -- 7. The Black-Scholes Differential Equation -- 8. Integral Forms and Analytic Solutions in the Black-Scholes World -- 9. Binomial and Trinomial Trees -- 10. Numerical Solutions Using Finite Differences -- 11. Monte Carlo Simulations -- 12. Hedging -- 13. Martingales and Numeraires -- 14. Interest Rates and Term Structure Models -- 15. Simple Interest Rate Products -- 16. FX Derivatives -- 17. Variants of Fixed Income Instruments -- 18. Plain Vanilla Options -- 19. Exotic Options -- 20. Credit Risk -- 21. Fundamentals -- 22. The Variance-Covariance Method -- 23. Simulation Methods -- 24. Example of a VaR Computation -- 25. Backtesting: Checking the Applied Methods -- 26. Classical Portfolio Management -- 27. Attributes and their Characteristic Portfolios.-28. Active Management and Benchmarking -- 29. Construction of the Yield Curve Universe -- 30. Volatility -- 31. Market Parameter from Historical Time Series -- 32. Time Series Modeling -- 33. Forecasting with Time Series Models -- 34. Principal Component Analysis -- 35. Pre-Treatment of Time Series and Assessment of Models. 330 $aNow in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative-both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader's own bespoke solutions for valuation and risk management systems. 410 0$aFinance and Capital Markets Series,$x2946-2029 606 $aCapital market 606 $aFinancial risk management 606 $aAccounting 606 $aEconomics 606 $aBusiness enterprises$xFinance 606 $aFinancial services industry 606 $aCapital Markets 606 $aRisk Management 606 $aAccounting 606 $aEconomics 606 $aCorporate Finance 606 $aFinancial Services 606 $aGestió del risc$2thub 606 $aRisc (Economia)$2thub 606 $aActius financers derivats$2thub 608 $aLlibres electrònics$2thub 615 0$aCapital market. 615 0$aFinancial risk management. 615 0$aAccounting. 615 0$aEconomics. 615 0$aBusiness enterprises$xFinance. 615 0$aFinancial services industry. 615 14$aCapital Markets. 615 24$aRisk Management. 615 24$aAccounting. 615 24$aEconomics. 615 24$aCorporate Finance. 615 24$aFinancial Services. 615 7$aGestió del risc 615 7$aRisc (Economia) 615 7$aActius financers derivats 676 $a332.0415 676 $a332.632042 700 $aDeutsch$b Hans-Peter$4aut$4http://id.loc.gov/vocabulary/relators/aut$0979426 702 $aBeinker$b Mark W$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910349526303321 996 $aDerivatives and Internal Models$92232948 997 $aUNINA