000			02501 a2200241 4500
005			20191223172818.0
008			191217b xxu||||| |||| 00| 0 eng d
020			_a9783030228989
040			_cIIT Kanpur
041			_aeng
082			_a332.6457 _bD489d5
100			_aDeutsch, Hans-Peter
245			_aDerivatives and internal models [5th ed.] _bmodern risk management _cHans-Peter Deutsch and Mark W. Beinker
250			_a5th ed.
260			_bPalgrave Macmillan _c2019 _aSwitzerland
300			_axxxii, 897p
440			_aFinance and capital markets series
520			_aNow 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			_aRisk management
650			_aDerivative securities
700			_aBeinker, Mark W.
942			_cBK
999			_c561067 _d561067