ENGLISH

Derivatives and Internal Models

By Hans-Peter Deutsch

Book information

Publisher
Palgrave Macmillan
Year
2002
ISBN
9780230502109, 9780333977064, 0333977068
Open Library ID
OL9881808M
Language
english
Format
PDF
Filesize
4 MB (4059160 bytes)
Edition
2nd
Pages
638\638
Topic
Economy
Scanned
yes
Time added
2010-08-30 15:18:36

Description

This book gives a comprehensive and thorough insight into all of today's common methods of modern market risk management including coverage of variance, co-variance, historical simulation, Monte Carlo, 'Greek' ratios, and statistical concepts such as volatility and correlation. In addition, all the important modern derivatives and their pricing methods (i.e. present value, Black Scholes, binomial trees, Monte Carlo) are presented and guidelines are given as to exactly which method can be used for which instruments.

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