Derivatives And Internal Models
DOWNLOAD
Download Derivatives And Internal Models PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Derivatives And Internal Models book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Derivatives And Internal Models
DOWNLOAD
Author : Hans-Peter Deutsch
language : en
Publisher: Springer Nature
Release Date : 2019-10-08
Derivatives And Internal Models written by Hans-Peter Deutsch and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-08 with Business & Economics categories.
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
DOWNLOAD
Author : H. Deutsch
language : en
Publisher: Springer
Release Date : 2016-01-12
Derivatives And Internal Models written by H. Deutsch and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-12 with Business & Economics categories.
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
DOWNLOAD
Author : H. Deutsch
language : en
Publisher: Palgrave Macmillan
Release Date : 2009-06-25
Derivatives And Internal Models written by H. Deutsch and has been published by Palgrave Macmillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-25 with Business & Economics categories.
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
DOWNLOAD
Author : H. Deutsch
language : en
Publisher: Springer
Release Date : 2009-06-24
Derivatives And Internal Models written by H. Deutsch and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-24 with Business & Economics categories.
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.
Mathematical Models Of Financial Derivatives
DOWNLOAD
Author : Yue-Kuen Kwok
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-07-10
Mathematical Models Of Financial Derivatives written by Yue-Kuen Kwok and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07-10 with Mathematics categories.
This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Practical Approach To Xva A The Evolution Of Derivatives Valuation After The Financial Crisis
DOWNLOAD
Author : Tsuchiya Osamu
language : en
Publisher: World Scientific
Release Date : 2019-05-16
Practical Approach To Xva A The Evolution Of Derivatives Valuation After The Financial Crisis written by Tsuchiya Osamu and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-16 with Business & Economics categories.
The 2008 financial crisis shook the financial derivatives market to its core, revealing a failure to fully price the cost of doing business then. As a response to this, and to cope with regulatory demands for massively increased capital and other measures with funding cost, the pre-2008 concept of Credit Valuation Adjustment (CVA) has evolved into the far more complex hybrid Cross Valuation Adjustment (XVA).This book presents a clear and concise framework and provides key considerations for the computation of myriad adjustments to the price of financial derivatives, to fully reflect costs. XVA has been of great interest recently due to heavy funding costs (FVA), initial margin (MVA) and capital requirements (KVA) required to sustain a derivatives business since 2008, in addition to the traditional concepts of cost from counterparty default or credit deterioration (CVA), and its mirror image — the cost of one own's default (DVA).The book takes a practitioner's perspective on the above concepts, and then provides a framework to implement such adjustments in practice. Models are presented too, taking note of what is computationally feasible in light of portfolios typical of investment banks, and the different instruments associated with these portfolios.
Modern Derivatives Pricing And Credit Exposure Analysis
DOWNLOAD
Author : Roland Lichters
language : en
Publisher: Springer
Release Date : 2015-11-15
Modern Derivatives Pricing And Credit Exposure Analysis written by Roland Lichters and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-15 with Business & Economics categories.
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
DOWNLOAD
Author : Barry Leonard
language : en
Publisher: DIANE Publishing
Release Date : 1999-06
Risk Management Of Financial Derivatives written by Barry Leonard and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-06 with categories.
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.
Equity Derivatives And Market Risk Models
DOWNLOAD
Author : Oliver Brockhaus
language : en
Publisher:
Release Date : 2000
Equity Derivatives And Market Risk Models written by Oliver Brockhaus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business & Economics categories.
The definitive practitioners' reference on the advanced use of equity derivatives.
Derivatives
DOWNLOAD
Author : Jiří Witzany
language : en
Publisher: Springer Nature
Release Date : 2020-11-04
Derivatives written by Jiří Witzany and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-04 with Business & Economics categories.
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.