Derivatives and Internal Models (eBook, PDF) - Deutsch, Hans-Peter; Beinker, Mark W.
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- 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 Ma
Praise for previous edition: 'Whether you are looking for a standard reference or a stand-alone learning guide, Derivatives and Internal Models deserves a place on your bookshelf.' -Risk