Derivatives and internal models [5th ed.] (Record no. 561067)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02501 a2200241 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20191223172818.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 191217b xxu||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 9783030228989 |
| 040 ## - CATALOGING SOURCE | |
| Transcribing agency | IIT Kanpur |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | eng |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.6457 |
| Item number | D489d5 |
| 100 ## - MAIN ENTRY--AUTHOR NAME | |
| Personal name | Deutsch, Hans-Peter |
| 245 ## - TITLE STATEMENT | |
| Title | Derivatives and internal models [5th ed.] |
| Remainder of title | modern risk management |
| Statement of responsibility, etc | Hans-Peter Deutsch and Mark W. Beinker |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 5th ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Name of publisher | Palgrave Macmillan |
| Year of publication | 2019 |
| Place of publication | Switzerland |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | xxxii, 897p |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Finance and capital markets series |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical Term | Risk management |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical Term | Derivative securities |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Beinker, Mark W. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Books |
| Withdrawn status | Lost status | Damaged status | Not for loan | Collection code | Permanent Location | Current Location | Date acquired | Source of acquisition | Cost, normal purchase price | Full call number | Accession Number | Cost, replacement price | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| General Stacks | PK Kelkar Library, IIT Kanpur | PK Kelkar Library, IIT Kanpur | 2019-12-23 | 2 | 5043.21 | 332.6457 D489d5 | A185044 | 6304.01 | Books |