Derivatives and Internal Models

By:

H DEUTSCH

Format:

Paperback / softback

Series:

Finance and Capital Markets Series

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Description

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.

Author Biography:

HANS-PETER DEUTSCH is a partner in Andersen Germany and Head of Financial and Commodity Risk Consulting.

Release date Australia

January 1st, 2002

Author

H DEUTSCH

Audience

Professional & Vocational

Edition

2nd ed. 2002

Illustrations

5 Illustrations, black and white; XV, 621 p. 5 illus.

Pages

621

Series

Finance and Capital Markets Series

ISBN-13

9781349429998

Product ID

25603193

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