Derivatives and Internal Models

Provides an introduction to the valuation and risk management of modern financial instrumentsIncludes updates to reflect the myriad of changes the industry has seen over the past 5 yearsCovers new and more advanced topics including risk adjusted performance and portfolio optimizationFeature a number of real world illustrations and downloadable excel spreadsheets with hundreds of practical examples

Auteur

Hans-Peter Deutsch is one of the founders of d-fine, a leading financial services consulting firm in Europe. Previously, he was a Partner at Arthur Andersen and head of Andersen's Financial and Commodity Risk Consulting (FCRC) in Germany, which he founded in 1997. He holds a PhD in theoretical physics and is the author of roughly 20 international scientific publications in this field. He is also author of many publications in the field of mathematical finance including books on quantitative portfolio management, derivatives pricing and risk management. For many years Dr. Deutsch has been a guest lecturer and member of the Advisory Board of the Mathematical Finance Programme at the University of Oxford, UK, and also Chairman of the Advisory Board of the MathFinance Institute at Johann Wolfgang Goethe-Universität in Frankfurt, Germany. He was also a member of the supervisory board of GET-Capital AG, a German asset management firm, which manages large asset portfolios forinstitutional investors using a state of the art quantitative method and software system developed by Dr. Deutsch himself.

Mark W. Beinker serves as Managing Director at d-fine GmbH. Dr. Beinker is responsible for the financial engineering business unit and manages projects in development and implementation of models for valuation and risk sensitivity calculation of structured financial products, approval of valuation methods and tools, risk analysis and re-engineering of financial transactions, integration of valuation libraries into the existing system environment, introduction of innovative financial products, development of hedging strategies and the outsourcing of product valuation services. In addition, Dr. Beinker is responsible for the valuation platform MoCo. His professional career began at Arthur Andersen where he held the position of Manager within in the Financial and Commodity Risk Consulting (FCRC) group in Germany. Though he participated in a broad range of projects throughout is business career, the valuation of financial derivatives has been his focus since 1997. Dr. Beinker earned his PhD at the universities of TU Dresden and Duke University, USA.

Contenu

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.