Derivatives and Internal Models (Hardcover) (ISBN-13: 9780333977064)

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: H. Deutsch
ISBN-10: 0333977068
ISBN-13: 9780333977064
Publisher: Palgrave MacMillan
Language: English
Published: 12/03/2001
Pages: 621
Format: Hardcover
Weight: 2.39lbs
Size: 9.44h x 6.36w x 1.45d