Now in its fourth edition, this classic book 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 accompanying website http://www.palgrave.com/deutsch contains tried and tested executable spreadsheets with hundreds of detailed, real world examples In this book, Dr. Hans-Peter Deutsch 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. He also 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. All these methods are explained with adequate mathematical rigor and in great detail both in theory and with the help of hundreds of spreadsheet examples using one consistent logical approach and notation. This book should enable any bank to create and implement its own so-called "internal" risk models. The new edition is completely updated. Formulations have been streamlined to make the topics even more accessible and the explanations even more understandable.
PART I: FUNDAMENTALS Introduction Fundamental Risk Factors of Financial Markets Financial Instruments: A System of Derivatives and Underlyings PART II: METHODS Overview of the Assumptions Present Value Methods, Yields and Traditional Risk Measures Arbitrage The Black-Scholes Differential Equation Integral Forms and Analytic Solutions in the Black-Scholes World Numerical Solutions Using Finite Differences Binomial and Trinomial Trees Monte-Carlo Simulations Hedging Martingales and Numeraires Interest Rates and Term Structure Models PART III: INSTRUMENTS Spot Transactions on Interest Instruments Forward Transactions on Interest Rates Plain Vanilla Options Exotic Options PART IV: RISK Fundamentals The Variance-Covariance Method Simulation Methods Interest Rate Risk and Cash Flows Example VaR-Computation Backtesting: Checking the Applied Methods PART V: Portfolios Classical Portfolio Management Attributes and their Characteristic Portfolios Active Management and Benchmarking PART VI: MARKET DATA Interest Rate Term Structures Volatility Market Parameter from Historical Time Series Time Series Modelling Forecasting with Time Series Models Principle Component Analysis Pre-Treatment of Time Series and Assesment of Models Probabiltiy and Statistics
(0 Comentarios)
