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Derivatives and Internal Models

Derivatives and Internal Models

Hardcover

Series: Finance and Capital Markets

AccountingInvesting & FinanceManagement

ISBN10: 0333977068
ISBN13: 9780333977064
Publisher: Springer Nature
Published: Dec 3 2001
Pages: 621
Weight: 2.39
Height: 1.45 Width: 6.36 Depth: 9.44
Language: English
The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series analysis, GARCH models, differential equations, finite difference schemes, Martingales and Numeraires.

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