Derivatives Ad Internal Models: Modern Risk Management

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.