Derivatives and Internal Models

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.

Review of 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

HANS-PETER DEUTSCH is a partner in Andersen Germany and Head of Financial and Commodity Risk Consulting.