Derivatives and internal models : modern risk management
著者
書誌事項
Derivatives and internal models : modern risk management
(Macmillan business)
Macmillan, 1999
- floppy disc
- タイトル別名
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Derivate und Interne Modelle
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注記
Translation of: Derivate und Interne Modelle
On front cover: Arthur Andersen
Includes bibliographical references (p. 357-362) and index
Accompanied by computer disk containing workbook, in pocket inside back cover
内容説明・目次
内容説明
This title offers an insight into common methods of market risk management, featuring coverage of variance covariance, historical simulation, Monte Carlo, "Greek" ratios, and statistical concepts, such as volatility and correlation. In addition, the important derivatives and their pricing methods, for example, present value, Black Scholes, binomial trees, and Monte Carolo, are presented, and guidelines are given as to which method can be used for which instruments.;The book contains many examples which are also provided on an accompanying diskette in a Microsoft Excel workbook environment - which can also serve as a fully functioning pricing and risk management software tool in its own right.
目次
Introduction - Legal Background - The Basic Risks of the Market - Financial Instruments: A Classification of Derivatives and Underlyings - Valuation Methods for Financial Instruments - Hedging - Pricing and Hedging the Most Important Instruments - Risk Management - Establishing the Scenario and Price Parameters - Probability Theory and Statistics
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