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Derivatives and Internal Models

Modern Risk Management

  • Hans-Peter Deutsch
  • Mark W. Beinker
Book

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xxxii
  2. Fundamentals

    1. Front Matter
      Pages 1-1
    2. Hans-Peter Deutsch, Mark W. Beinker
      Pages 3-6
    3. Hans-Peter Deutsch, Mark W. Beinker
      Pages 7-53
    4. Hans-Peter Deutsch, Mark W. Beinker
      Pages 55-71
  3. Methods

    1. Front Matter
      Pages 73-73
    2. Hans-Peter Deutsch, Mark W. Beinker
      Pages 75-77
    3. Hans-Peter Deutsch, Mark W. Beinker
      Pages 79-96
    4. Hans-Peter Deutsch, Mark W. Beinker
      Pages 97-106
    5. Hans-Peter Deutsch, Mark W. Beinker
      Pages 107-122
    6. Hans-Peter Deutsch, Mark W. Beinker
      Pages 123-137
    7. Hans-Peter Deutsch, Mark W. Beinker
      Pages 139-163
    8. Hans-Peter Deutsch, Mark W. Beinker
      Pages 165-206
    9. Hans-Peter Deutsch, Mark W. Beinker
      Pages 207-225
    10. Hans-Peter Deutsch, Mark W. Beinker
      Pages 227-251
    11. Hans-Peter Deutsch, Mark W. Beinker
      Pages 253-286
    12. Hans-Peter Deutsch, Mark W. Beinker
      Pages 287-351
  4. Instruments

    1. Front Matter
      Pages 353-353
    2. Hans-Peter Deutsch, Mark W. Beinker
      Pages 355-387
    3. Hans-Peter Deutsch, Mark W. Beinker
      Pages 389-397
    4. Hans-Peter Deutsch, Mark W. Beinker
      Pages 399-413
    5. Hans-Peter Deutsch, Mark W. Beinker
      Pages 415-439
    6. Hans-Peter Deutsch, Mark W. Beinker
      Pages 441-469
    7. Hans-Peter Deutsch, Mark W. Beinker
      Pages 471-487
  5. Risk

    1. Front Matter
      Pages 489-489
    2. Hans-Peter Deutsch, Mark W. Beinker
      Pages 491-519
    3. Hans-Peter Deutsch, Mark W. Beinker
      Pages 521-557
    4. Hans-Peter Deutsch, Mark W. Beinker
      Pages 559-567
    5. Hans-Peter Deutsch, Mark W. Beinker
      Pages 569-573
    6. Hans-Peter Deutsch, Mark W. Beinker
      Pages 575-583
  6. Portfolios

    1. Front Matter
      Pages 585-585
    2. Hans-Peter Deutsch, Mark W. Beinker
      Pages 587-619
    3. Hans-Peter Deutsch, Mark W. Beinker
      Pages 621-639
    4. Hans-Peter Deutsch, Mark W. Beinker
      Pages 641-663
  7. Market Data

    1. Front Matter
      Pages 665-665
    2. Hans-Peter Deutsch, Mark W. Beinker
      Pages 667-699
    3. Hans-Peter Deutsch, Mark W. Beinker
      Pages 701-729
    4. Hans-Peter Deutsch, Mark W. Beinker
      Pages 731-751
    5. Hans-Peter Deutsch, Mark W. Beinker
      Pages 753-776
    6. Hans-Peter Deutsch, Mark W. Beinker
      Pages 777-792
    7. Hans-Peter Deutsch, Mark W. Beinker
      Pages 793-804
    8. Hans-Peter Deutsch, Mark W. Beinker
      Pages 805-822
  8. Back Matter
    Pages 823-897

About this book

Introduction

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.


Keywords

benchmarking cash flow derivatives financial instruments financial market hedging management Options Portfolio portfolio management pricing risk management statistics volatility

Authors and affiliations

  • Hans-Peter Deutsch
    • 1
  • Mark W. Beinker
    • 2
  1. 1.NiedernhausenGermany
  2. 2.FriedrichsdorfGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-030-22899-6
  • Copyright Information The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2019
  • Publisher Name Palgrave Macmillan, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-030-22898-9
  • Online ISBN 978-3-030-22899-6
  • Buy this book on publisher's site