Financial Risk Management, Derivatives - General & Miscellaneous, Securities - General & Miscellaneous

Derivatives and Internal Models

Name: Derivatives and Internal Models
Author: Hans-Peter Deutsch
ISBN: 9780230222151

by Hans-Peter Deutsch

Write a review

Overview

The first two editions of this book provided an introduction to the valuation and risk management of modern financial instruments formulated in a precise mathematical framework and comprehensively covering all relevant topics. The level of detail in the second edition has made it a standard reference, which is sufficient to implement pricing and risk quantification algorithms. In this new edition, Deutsch continues with this philosophy, covering new and more advanced topics including risk-adjusted performance and portfolio optimisation.

Synopsis

This book provides a thorough introduction to pricing and risk management of modern financial instruments formulated in precise mathematical language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. There is also an accompanying website with hundreds of real world examples.

Companion Website: http://www.palgrave.com/finance/deutsch/

About the Author, Hans-Peter Deutsch

HANS-PETER DEUTSCH is Founder and Managing Director of d-fine, one of the leading financial services consulting firms in Europe. He was formerly a Partner at Arthur Andersen and head of Financial Risk Consulting in Germany. Dr Deutsch holds a Ph.D. in theoretical physics and is author of many publications in the area of quantitative finance. He is also Guest Lecturer for Mathematical Finance at Oxford University, UK, and Chairman of the Advisory Board of the MathFinance Institute at Goethe-University in Frankfurt, Germany.

Reviews

There are no reviews yet. Log in to write one.

Editorials

From the Publisher

Praise for the previous edition:
"Whether you are looking for a standard reference or a stand-alone learning guide, Derivatives and Internal Models deserves a place on your bookshelf."--Risk