Derivatives and Internal Models Modern Risk Management /
| Main Authors: | , |
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| Corporate Author: | |
| Summary: | XXXII, 897 p. 39 illus. text |
| Language: | English |
| Published: |
Cham :
Springer International Publishing : Imprint: Palgrave Macmillan,
2019.
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| Edition: | 5th ed. 2019. |
| Series: | Finance and Capital Markets Series,
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| Subjects: | |
| Online Access: | https://doi.org/10.1007/978-3-030-22899-6 |
| Format: | Electronic Book |
Table of Contents:
- 1. Introduction
- 2. Fundamental Risk Factors of Financial Markets
- 3. Financial Instruments: A System of Derivatives and Underlyings
- 4. Overview of the Assumptions
- 5. Present Value Methods, Yields and Traditional Risk Measures
- 6. Arbitrage
- 7. The Black-Scholes Differential Equation
- 8. Integral Forms and Analytic Solutions in the Black-Scholes World
- 9. Binomial and Trinomial Trees
- 10. Numerical Solutions Using Finite Differences
- 11. Monte Carlo Simulations
- 12. Hedging
- 13. Martingales and Numeraires
- 14. Interest Rates and Term Structure Models
- 15. Simple Interest Rate Products
- 16. FX Derivatives
- 17. Variants of Fixed Income Instruments
- 18. Plain Vanilla Options
- 19. Exotic Options
- 20. Credit Risk
- 21. Fundamentals
- 22. The Variance-Covariance Method
- 23. Simulation Methods
- 24. Example of a VaR Computation
- 25. Backtesting: Checking the Applied Methods
- 26. Classical Portfolio Management
- 27. Attributes and their Characteristic Portfolios.-28. Active Management and Benchmarking
- 29. Construction of the Yield Curve Universe
- 30. Volatility
- 31. Market Parameter from Historical Time Series
- 32. Time Series Modeling
- 33. Forecasting with Time Series Models
- 34. Principal Component Analysis
- 35. Pre-Treatment of Time Series and Assessment of Models.