Téléchargez le livre : Derivatives and Internal Models

Derivatives and Internal Models

Modern Risk Management de

,

Éditeur :

Palgrave Macmillan


Collection :

Finance and Capital Markets Series

Paru le : 2019-10-08

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Description


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.
Pages
897 pages
Collection
Finance and Capital Markets Series
Parution
2019-10-08
Marque
Palgrave Macmillan
EAN papier
9783030228989
EAN PDF
9783030228996
Informations sur l'ebook
Nombre pages copiables
8
Nombre pages imprimables
89
Taille du fichier
11745 Ko
Prix
68,56 €
EAN EPUB
9783030228996
Informations sur l'ebook
Nombre pages copiables
8
Nombre pages imprimables
89
Taille du fichier
30392 Ko
Prix
68,56 €

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