Derivatives and Internal Models

1. Introduction2. Fundamental Risk Factors of Financial Markets3. Financial Instruments: A System of Derivatives and Underlyings4. Overview of the Assumptions5. Present Value Methods, Yields and Traditional Risk Measures6. Arbitrage7. The Black-Scholes Differential Equation8. Integral Forms and Analytic Solutions in the Black-Scholes World9. Binomial and Trinomial Trees10. Numerical Solutions Using Finite Differences11. Monte Carlo Simulations12. Hedging 13. Martingales and Numeraires14. Interest Rates and Term Structure Models15. Simple Interest Rate Products16. FX Derivatives17. Variants of Fixed Income Instruments18. Plain Vanilla Options19. Exotic Options20. Credit Risk21. Fundamentals22. The Variance-Covariance Method23. Simulation Methods 24. Example of a VaR Computation25. Backtesting: Checking the Applied Methods26. Classical Portfolio Management27. Attributes and their Characteristic Portfolios28. Active Management and Benchmarking29. Construction of the Yield Curve Universe30. Volatility31. Market Parameter from Historical Time Series32. Time Series Modeling33. Forecasting with Time Series Models34. Principal Component Analysis35. Pre-Treatment of Time Series and Assessment of Models

Hans-Peter Deutsch is one of the founders of d-fine, a leading financial services consulting firm in Europe. Previously, he was a Partner at Arthur Andersen and head of Andersen's Financial and Commodity Risk Consulting (FCRC) in Germany, which he founded in 1997. He holds a PhD in theoretical physics and is the author of roughly 20 international scientific publications in this field. He is also author of many publications in the field of mathematical finance including books on quantitative portfolio management, derivatives pricing and risk management.  For many years Dr. Deutsch has been a guest lecturer and member of the Advisory Board of the Mathematical Finance Programme at the University of Oxford, UK, and also Chairman of the Advisory Board of the MathFinance Institute at Johann Wolfgang Goethe-Universität in Frankfurt, Germany. He was also a member of the supervisory board of GET-Capital AG, a German asset management firm, which manages large asset portfolios for institutional investors using a state of the art quantitative method and software system developed by Dr. Deutsch himself.

Mark W. Beinker serves as Managing Director at d-fine GmbH. Dr. Beinker is responsible for the financial engineering business unit and manages projects in development and implementation of models for valuation and risk sensitivity calculation of structured financial products, approval of valuation methods and tools, risk analysis and re-engineering of financial transactions, integration of valuation libraries into the existing system environment, introduction of innovative financial products, development of hedging strategies and the outsourcing of product valuation services. In addition, Dr. Beinker is responsible for the valuation platform MoCo. His professional career began at Arthur Andersen where he held the position of Manager within in the Financial and Commodity Risk Consulting (FCRC) group in Germany. Though he participated in a