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Derivatives and Internal Models : Modern Risk Management / / by Hans-Peter Deutsch, Mark W. Beinker
| Derivatives and Internal Models : Modern Risk Management / / by Hans-Peter Deutsch, Mark W. Beinker |
| Autore | Deutsch Hans-Peter |
| Edizione | [5th ed. 2019.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2019 |
| Descrizione fisica | 1 online resource (XXXII, 897 p. 39 illus.) |
| Disciplina |
332.0415
332.632042 |
| Collana | Finance and Capital Markets Series |
| Soggetto topico |
Capital market
Financial risk management Accounting Economics Business enterprises - Finance Financial services industry Capital Markets Risk Management Corporate Finance Financial Services Gestió del risc Risc (Economia) Actius financers derivats |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9783030228996
3030228991 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. 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. |
| Record Nr. | UNINA-9910349526303321 |
Deutsch Hans-Peter
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| Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Journal of risk and uncertainty
| Journal of risk and uncertainty |
| Pubbl/distr/stampa | Boston, USA, : Kluwer Academic Publishers, ©1988- |
| Disciplina | 338.5 |
| Soggetto topico |
Risk
Uncertainty Decision making Information theory Risque Incertitude Prise de décision Théorie de l'information Ryzyko ubezpieczeniowe Onzekerheid Risico's Presa de decisions Incertesa Risc (Economia) |
| Soggetto genere / forma |
Czasopismo ekonomiczne
Periodicals. Revistes electròniques. |
| ISSN | 1573-0476 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910146012203321 |
| Boston, USA, : Kluwer Academic Publishers, ©1988- | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The journal of risk finance
| The journal of risk finance |
| Pubbl/distr/stampa | [Bradford, England], : Emerald Pub |
| Disciplina |
658
658.155 |
| Soggetto topico |
Risk management
Risk assessment Risk (Insurance) Gestion du risque Évaluation du risque Risque (Assurance) Publications périodiques Analyse des risques Risques financiers Risc (Assegurances) Risc (Economia) Assegurances |
| Soggetto genere / forma |
Periodicals.
Revistes electròniques. |
| ISSN | 2331-2947 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Risk finance |
| Record Nr. | UNINA-9910225623503321 |
| [Bradford, England], : Emerald Pub | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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RISKNEWS
| RISKNEWS |
| Pubbl/distr/stampa | Weinheim, : Wiley-VCH Verlag & Co. KGaA, ©2004- |
| Descrizione fisica | 1 online resource |
| Soggetto topico |
Risk management
Industrial management Gestion du risque Gestion d'entreprise Risc (Economia) Organització industrial |
| Soggetto genere / forma |
Periodicals.
Revistes electròniques. |
| ISSN | 1616-0045 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | ger |
| Altri titoli varianti | Risk news |
| Record Nr. | UNINA-9911002564403321 |
| Weinheim, : Wiley-VCH Verlag & Co. KGaA, ©2004- | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic Volatility and Realized Stochastic Volatility Models / / by Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe
| Stochastic Volatility and Realized Stochastic Volatility Models / / by Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe |
| Autore | Takahashi Makoto <1920-1976, > |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2023 |
| Descrizione fisica | 1 online resource (VIII, 113 p. 41 illus., 26 illus. in color.) |
| Disciplina | 332.015195 |
| Collana | JSS Research Series in Statistics |
| Soggetto topico |
Statistics
Social sciences - Statistical methods Econometrics Statistics in Business, Management, Economics, Finance, Insurance Statistics in Social Sciences, Humanities, Law, Education, Behavorial Sciences, Public Policy Statistical Theory and Methods Quantitative Economics Risc (Economia) Models matemàtics Anàlisi estocàstica |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9789819909353
981990935X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 Introduction -- 2 Stochastic Volatility Model -- 3 Asymmetric Stochastic Volatility Model -- 4 Stochastic Volatility Model with Generalized Hyperbolic Skew Student’s t Error -- 5 Realized Stochastic Volatility Model. |
| Record Nr. | UNINA-9910698640503321 |
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Takahashi Makoto <1920-1976, >
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| Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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