Derivatives and Internal Models

By:

H DEUTSCH

Format:

Hardback

Series:

Finance and Capital Markets Series

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Description

The previous 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 second 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 Arthur Andersen Germany and Head of Financial and Commodity Risk.

Release date NZ

December 3rd, 2001

Author

H DEUTSCH

Audiences

A / AS level
Postgraduate, Research & Scholarly
Professional & Vocational
Undergraduate

Edition

2nd ed. 2002

Illustrations

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

Pages

621

Series

Finance and Capital Markets Series

Dimensions

162x242x37

ISBN-13

9780333977064

Product ID

3170006

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