Risk management and financial derivatives: a guide to the mathematics
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
New York [u.a.]
McGraw-Hill
1998
|
| Series: | Irwin library of investment & finance
|
| Subjects: | |
| Online Access: | Publisher description Table of contents Inhaltsverzeichnis |
| Physical Description: | XXVI, 799 S. graph. Darst. |
| ISBN: | 0070153787 |
Staff View
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| 245 | 1 | 0 | |a Risk management and financial derivatives |b a guide to the mathematics |c ed. by Satyajit Das |
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 1998 | |
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Record in the Search Index
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| adam_text | Table of Contents
Preface v
About the Authors xi
Selected Bibliography xvii
Part 1
Introduction
1. Risk reward Relationships—Foundations of Derivatives 3
by Lance Smith
Part 2
Interest Rates and Yield Curves
2. Interest Rates, Bond Pricing, Duration and Convexity 19
by Roger Cohen
3. Interest Rate and Yield Curve Modelling 47
by Satyajit Das (with a contribution from Roger Cohen)
Part 3
Derivative Pricing
4. Pricing Forwards and Futures Contracts 97
by John Martin
5. Pricing Options 221
by Satyajit Das
6. Interest Rate Option Pricing Models 275
by Jim Rowlands
7. Pricing Models for Complex/Exotic Options 288
by Dr Garry de Jager
8. Estimating Volatility 307
by Satyajit Das
9. Estimating Volatility and Correlation Using ARCH/GARCH 337
Models by Carol Alexander
10. Measuring Option Price Sensitivity—The Greek Alphabet of 355
Risk by Satyajit Das
11. Option Replication Utilising Delta Hedging 390
by Satyajit Das
x TABLE OF CONTENTS
Part 4
Investment Management
12. Portfolio Optimisation 431
by Geoffrey Brianton
13. Risk Management for Bond Portfolios 470
by Roger Cohen
14. Portfolio Insurance 482
by Steuart Roe
15. Indexation of Portfolios 500
by Frances Cowell
^Part 5
Risk Management
16. Value at Risk Models 547
by Satyajit Das and John Martin
17. Portfolio Simulation: Stress Testing Techniques 685
by Lance Smith
18. Credit Risk Measurement 697
by Alan Bustany
Part 6
Mathematical Techniques
19. Mathematical Techniques 717
by Thomas R Gillespie
Index 779
|
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| indexdate | 2024-07-09T18:24:38Z |
| institution | BVB |
| isbn | 0070153787 |
| language | English |
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| physical | XXVI, 799 S. graph. Darst. |
| publishDate | 1998 |
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| spelling | Risk management and financial derivatives a guide to the mathematics ed. by Satyajit Das New York [u.a.] McGraw-Hill 1998 XXVI, 799 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Irwin library of investment & finance Mathematisches Modell Derivative securities -- Mathematical models Risk management -- Mathematical models Investment analysis -- Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Mathematik (DE-588)4037944-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Risikomanagement (DE-588)4121590-4 s DE-604 Finanzmathematik (DE-588)4017195-4 s Mathematik (DE-588)4037944-9 s Das, Satyajit Sonstige oth http://www.loc.gov/catdir/description/mh023/97046822.html Publisher description http://www.loc.gov/catdir/toc/mh022/97046822.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008316009&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Risk management and financial derivatives a guide to the mathematics Mathematisches Modell Derivative securities -- Mathematical models Risk management -- Mathematical models Investment analysis -- Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd Risikomanagement (DE-588)4121590-4 gnd Mathematik (DE-588)4037944-9 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4121590-4 (DE-588)4037944-9 (DE-588)4017195-4 |
| title | Risk management and financial derivatives a guide to the mathematics |
| title_auth | Risk management and financial derivatives a guide to the mathematics |
| title_exact_search | Risk management and financial derivatives a guide to the mathematics |
| title_full | Risk management and financial derivatives a guide to the mathematics ed. by Satyajit Das |
| title_fullStr | Risk management and financial derivatives a guide to the mathematics ed. by Satyajit Das |
| title_full_unstemmed | Risk management and financial derivatives a guide to the mathematics ed. by Satyajit Das |
| title_short | Risk management and financial derivatives |
| title_sort | risk management and financial derivatives a guide to the mathematics |
| title_sub | a guide to the mathematics |
| topic | Mathematisches Modell Derivative securities -- Mathematical models Risk management -- Mathematical models Investment analysis -- Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd Risikomanagement (DE-588)4121590-4 gnd Mathematik (DE-588)4037944-9 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Mathematisches Modell Derivative securities -- Mathematical models Risk management -- Mathematical models Investment analysis -- Mathematical models Derivat Wertpapier Risikomanagement Mathematik Finanzmathematik |
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