MARC details
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| fixed length control field |
02471nam a22002417a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20220716111011.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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220716b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783030229016 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.0415 |
| Item number |
DEU |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Deutsch, Hans-Peter |
| 245 ## - TITLE STATEMENT |
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| Title |
Derivatives and internal models: modern risk management |
| 250 ## - EDITION STATEMENT |
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| Edition statement |
5th |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Name of publisher, distributor, etc. |
Palgrave Macmillan |
| Place of publication, distribution, etc. |
Switzerland |
| Date of publication, distribution, etc. |
2020 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
xxxii, 897 p. |
| 365 ## - TRADE PRICE |
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| Price type code |
EURO |
| Price amount |
64.99 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. <br/><br/>The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. <br/><br/>The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative-both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation.<br/><br/>The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader's own bespoke solutions for valuation and risk management systems. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Risk management |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Capital market |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Corporations--Finance |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Investment banking |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Derivative securities |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Book |