rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Derivatives and Internal Models
    sub title: Modern Risk Management
  name:
    name part: Deutsch, Hans-Peter.
    role:
      role term: creator
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: Beinker, Mark W.
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  genre: Electronic books.
  origin info:
    place:
      place term: sz
    date issued: 2019
    edition: 5th ed. 2019.
    issuance: monographic
  language:
    language term: eng
  physical description:
    reformatting quality: access
    form: remote
    extent: 1 online resource (XXXII, 897 pages 39 illustrations)
  abstract: 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, et cetera, 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, et cetera 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.
  table of contents: 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.
  note: by Hans-Peter Deutsch, Mark W. Beinker.
  subject:
    topic: Capital market
  subject:
    topic: Risk management
  subject:
    topic: Accounting
  subject:
    topic: Bookkeeping
  subject:
    topic: Economics
  subject:
    topic: Management science
  subject:
    topic: Corporations-Finance
  subject:
    topic: Investment banking
  subject:
    topic: Securities
  subject:
    topic: Capital Markets
  subject:
    topic: Risk Management
  subject:
    topic: Accounting/Auditing
  subject:
    topic: Economics, general
  subject:
    topic: Corporate Finance
  subject:
    topic: Investments and Securities
  classification: HG4523
  classification: 332.0415
  related item:
    title info:
      title: Springer Nature eBook
  related item:
    title info:
      title: Finance and Capital Markets Series
  identifier: 9783030228996
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record creation date: 191008
    record change date: 20230330185256.9
    record identifier: in00004406942