Derivatives and 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.