Titlebook: Derivatives and Internal Models; Hans-Peter Deutsch Book 2002Latest edition Hans-Peter Deutsch 2002 management.organization.risk managemen

Harridan

seduce

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.

sultry

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.

monopoly

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.

META

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.

notice

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.

connoisseur

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.

使熄滅

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.

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