Derivatives and Internal Models

This book is a comprehensive introduction to the common methods of modern market risk management, including variance, co-variance, historical simulation, Monte Carlo, "Greek" ratios, volatility and correlation. All the important modern derivatives and their pricing methods (present value, Black Scholes, binomial trees, Monte Carlo) are presented and guidelines are given as to exactly which method can be used for which instruments.

Author Biography: Hans-Peter Deutsch is Head of Financial Risk Consulting at Arthur Andersen, Germany.