標(biāo)題: Titlebook: Derivatives and Internal Models; Hans-Peter Deutsch Book 2002Latest edition Hans-Peter Deutsch 2002 management.organization.risk managemen [打印本頁(yè)] 作者: Fillmore 時(shí)間: 2025-3-21 18:21
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書(shū)目名稱Derivatives and Internal Models讀者反饋學(xué)科排名
作者: INCUR 時(shí)間: 2025-3-22 00:19 作者: Palatial 時(shí)間: 2025-3-22 01:37 作者: entitle 時(shí)間: 2025-3-22 05:58
Financial Instruments: A System of Derivatives and Underlyings return for the receipt of a specified payment or at least the expectation of such a payment at same future time from the counterparty. ., also called ., are instruments which make such a . or . possible. The purpose of this section is to present a classification of such instruments in a system of u作者: 譏諷 時(shí)間: 2025-3-22 12:36
Overview of the Assumptionsels. A complete list of all model assumptions made in this book are summarized here in order to provide an overview of the numerous conditions and assumptions arising in the various methods. For each pricing and risk management method discussed in the following chapters, we will specify which of the作者: 雇傭兵 時(shí)間: 2025-3-22 13:14
The Black-Scholes Differential Equationc.), we now demonstrate how such arbitrage arguments, with the help of results from stochastic analysis, namely Ito’s formula 3.19, can be used to derive the famous Black-Scholes equation. Along with the Assumptions 1, 2, 3, 4 and 5 from Section 5, the additional assumption that continuous trading i作者: 雇傭兵 時(shí)間: 2025-3-22 18:35
Integral Forms and Analytic Solutions in the Black-Scholes Worldour model by assuming that the parameters involved (interest rates, dividend yields, volatility) are constant (Assumptions 9, 11 and thus 7 from Section 5) despite the fact that these assumptions are quite unrealistic. These were the assumptions for which Fischer Black and Myron Scholes first found 作者: 使閉塞 時(shí)間: 2025-3-22 23:25
Numerical Solutions Using Finite Differencesematical finance. Finite difference methods are very powerful and flexible as well. They can be applied to a wide variety of different derivatives with either European or American payoff modes. In this section, we will provide a very detailed discussion of these important methods in a generality far作者: Pandemic 時(shí)間: 2025-3-23 01:53 作者: 一起 時(shí)間: 2025-3-23 09:07 作者: FLORA 時(shí)間: 2025-3-23 11:29
Hedgingused to . the derivative’s risk resulting from the stochastic movement of its underlying (or conversely a derivative could be used to hedge such a portfolio). This is accomplished by going short in the portfolio and long in the derivative or vice versa. This idea can be extended to hedging against i作者: 圣人 時(shí)間: 2025-3-23 14:59
Interest Rates and Term Structure Modelsnistic and hence predictable with certainty for all future times, we would know at time t which options will be in or out of the money upon maturity T. The options which are out of the money at maturity would be worthless at all earlier times t < T as well. The options which are in the money at matu作者: 妨礙議事 時(shí)間: 2025-3-23 18:47 作者: STALL 時(shí)間: 2025-3-24 01:02
Legal Environmenty on the risk management of derivatives entitled “Derivatives: Practices and Principles”. This study is also known as the . and puts forward recommendations which form the basis of the . in Germany and other such regulations. The following list shows the most important recommendations made in the G30 Report.作者: Antimicrobial 時(shí)間: 2025-3-24 05:04 作者: committed 時(shí)間: 2025-3-24 08:00 作者: Infinitesimal 時(shí)間: 2025-3-24 11:54 作者: inhibit 時(shí)間: 2025-3-24 18:28 作者: 惡臭 時(shí)間: 2025-3-24 21:02 作者: 擦掉 時(shí)間: 2025-3-25 00:31
https://doi.org/10.1007/978-1-4020-5796-0dition to the fundamental Assumptions 1, 2, 3, 4 and 5 from Section 5, continuous trading will also be assumed below, i.e. Assumption 6. We will allow the underlying to perform a general Ito process1 of the Form 3.16 and assume that it pays a dividend yield ..作者: Harridan 時(shí)間: 2025-3-25 04:33 作者: seduce 時(shí)間: 2025-3-25 09:18
https://doi.org/10.1007/978-94-015-7202-6having interest rates as their underlying risk factors, are among the most complex financial instruments traded on the market. Instruments on other risk factors such as stocks or foreign exchange rates can be classified analogously and will be discussed in detail in later sections of the book.作者: sultry 時(shí)間: 2025-3-25 12:15
https://doi.org/10.1007/978-3-319-94358-9e . when working with these assumptions. In the Black-Scholes world, solutions of the Black-Scholes differential equation (i.e. option prices) for some payoff profiles (for example for plain vanilla calls and puts) can be given in closed form. We will now present two elegant methods to derive such closed form solutions.作者: monopoly 時(shí)間: 2025-3-25 18:39
Factorization Method in Quantum Mechanics these very options should not even exist! In spite of this fact, the option prices obtained by applying the Black-76 model are surprisingly good. The results of recent research [94][126] have shown that the effects of several “false” assumptions (in particular, the assumed equality of forward and futures prices) tend to cancel out each other.作者: META 時(shí)間: 2025-3-25 22:30
Financial Instruments: A System of Derivatives and Underlyingshaving interest rates as their underlying risk factors, are among the most complex financial instruments traded on the market. Instruments on other risk factors such as stocks or foreign exchange rates can be classified analogously and will be discussed in detail in later sections of the book.作者: notice 時(shí)間: 2025-3-26 01:17
Integral Forms and Analytic Solutions in the Black-Scholes Worlde . when working with these assumptions. In the Black-Scholes world, solutions of the Black-Scholes differential equation (i.e. option prices) for some payoff profiles (for example for plain vanilla calls and puts) can be given in closed form. We will now present two elegant methods to derive such closed form solutions.作者: connoisseur 時(shí)間: 2025-3-26 07:07
Interest Rates and Term Structure Models these very options should not even exist! In spite of this fact, the option prices obtained by applying the Black-76 model are surprisingly good. The results of recent research [94][126] have shown that the effects of several “false” assumptions (in particular, the assumed equality of forward and futures prices) tend to cancel out each other.作者: 使熄滅 時(shí)間: 2025-3-26 09:37
Numerical Solutions Using Finite Differencesh either European or American payoff modes. In this section, we will provide a very detailed discussion of these important methods in a generality far exceeding that which is usually presented in comparable books.作者: conceal 時(shí)間: 2025-3-26 14:05 作者: 結(jié)構(gòu) 時(shí)間: 2025-3-26 20:36 作者: Basilar-Artery 時(shí)間: 2025-3-26 21:28 作者: Congruous 時(shí)間: 2025-3-27 02:09 作者: 預(yù)示 時(shí)間: 2025-3-27 08:03
Fundamental Theories of Physicsry exotic options for which other methods are either too complicated or completely unsuitable, the only requirement being the availability of sufficient computation time. Before proceeding with financial . of Monte Carlo techniques, we begin with a presentation of the technique itself.作者: 贊美者 時(shí)間: 2025-3-27 10:06 作者: 簡(jiǎn)潔 時(shí)間: 2025-3-27 14:47
https://doi.org/10.1057/9780230502109management; organization; risk management作者: stratum-corneum 時(shí)間: 2025-3-27 20:27 作者: Fecundity 時(shí)間: 2025-3-28 00:24
Derivatives and Internal Models978-0-230-50210-9Series ISSN 2946-2010 Series E-ISSN 2946-2029 作者: Intellectual 時(shí)間: 2025-3-28 05:22
https://doi.org/10.1007/978-3-319-94358-9els. A complete list of all model assumptions made in this book are summarized here in order to provide an overview of the numerous conditions and assumptions arising in the various methods. For each pricing and risk management method discussed in the following chapters, we will specify which of these assumptions are needed for their application.作者: sulcus 時(shí)間: 2025-3-28 08:46
Tullio Tolio,Giacomo Copani,Walter TerkajPresent value methods determine the value of a financial instrument by discounting all future cash flows resulting from the instrument. Applying this method requires few assumptions. Only Assumptions 1, 2, 3, 4 and 5 from Section 5 are necessary.作者: 新字 時(shí)間: 2025-3-28 10:31 作者: folliculitis 時(shí)間: 2025-3-28 16:43
LIE ALGEBRAS SU(2) AND SU(1, 1)The most important and profound concept that the reader may have gained from the material presented in this book so far is that of risk neutrality, which can be summarized as follows作者: Obliterate 時(shí)間: 2025-3-28 20:36
Present Value Methods, Yields and Traditional Risk MeasuresPresent value methods determine the value of a financial instrument by discounting all future cash flows resulting from the instrument. Applying this method requires few assumptions. Only Assumptions 1, 2, 3, 4 and 5 from Section 5 are necessary.作者: GEM 時(shí)間: 2025-3-29 00:10
Arbitrage. alone are sufficient for deriving relations such as the put-call parity or determining forward prices. Such arguments require only very few assumptions; we need only assumptions 1, 2, 3, 4 and 5 from Section 5 to be satisfied.作者: faculty 時(shí)間: 2025-3-29 06:53 作者: 助記 時(shí)間: 2025-3-29 11:13
Eco-Efficiency in Industry and Sciencerisk in a way specifically tailored to the needs of individual investors or firms. This holds in particular for banks and financial services companies who deal primarily with financial products, but is also becoming increasingly important in other sectors as well. Active financial and risk managemen作者: CEDE 時(shí)間: 2025-3-29 12:44 作者: foreign 時(shí)間: 2025-3-29 17:23
Olaf Tschimpke,Benjamin Bongardtinclude foreign currency exchange rates and the price of commodities and stocks and, of course, interest rates. Fluctuations in these fundamental risks induce fluctuations in the prices of the financial instruments which they underlie. They constitute an inherent market risk in the financial instrum作者: 治愈 時(shí)間: 2025-3-29 23:24 作者: SIT 時(shí)間: 2025-3-30 02:59 作者: 構(gòu)成 時(shí)間: 2025-3-30 05:32 作者: 按時(shí)間順序 時(shí)間: 2025-3-30 11:34 作者: 真實(shí)的人 時(shí)間: 2025-3-30 15:35
https://doi.org/10.1007/978-3-8349-9881-1ematical finance. Finite difference methods are very powerful and flexible as well. They can be applied to a wide variety of different derivatives with either European or American payoff modes. In this section, we will provide a very detailed discussion of these important methods in a generality far作者: Encapsulate 時(shí)間: 2025-3-30 19:53
https://doi.org/10.1007/BFb0092343to the fundamental differential equations governing the price of the instrument. These methods provide a useful alternative to those (numerical or analytical) methods presented in the previous sections for solving differential equations. In principle (ignoring for the moment the potential computing-作者: needle 時(shí)間: 2025-3-31 00:02 作者: 為寵愛(ài) 時(shí)間: 2025-3-31 01:07 作者: 傻瓜 時(shí)間: 2025-3-31 08:53
Factorization Method in Quantum Mechanicsnistic and hence predictable with certainty for all future times, we would know at time t which options will be in or out of the money upon maturity T. The options which are out of the money at maturity would be worthless at all earlier times t < T as well. The options which are in the money at matu作者: Noisome 時(shí)間: 2025-3-31 10:49
Factorization and Riccati Equationswith the explicit valuation of the most important and common financial instruments. We restrict our considerations to simple (for the most part, plain vanilla) instruments which still represent the largest proportion of all trades in financial markets today. The methods presented in Part II do in fa作者: 整頓 時(shí)間: 2025-3-31 15:51
Overview of the Assumptionsels. A complete list of all model assumptions made in this book are summarized here in order to provide an overview of the numerous conditions and assumptions arising in the various methods. For each pricing and risk management method discussed in the following chapters, we will specify which of these assumptions are needed for their application.
