Derivatives : theory and practice of trading, valuation, and risk management / Jiří Witzany.
This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirement...
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Full Text (via Springer) |
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Main Author: | |
Format: | eBook |
Language: | English |
Published: |
Cham, Switzerland :
Springer,
[2020]
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Series: | Springer texts in business and economics.
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Subjects: |
MARC
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245 | 1 | 0 | |a Derivatives : |b theory and practice of trading, valuation, and risk management / |c Jiří Witzany. |
264 | 1 | |a Cham, Switzerland : |b Springer, |c [2020] | |
300 | |a 1 online resource (ix, 376 pages) : |b illustrations (some color) | ||
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490 | 1 | |a Springer texts in business and economics, |x 2192-4333. | |
504 | |a Includes bibliographical references and index. | ||
505 | 0 | |a Introduction -- Forwards and Futures -- Interest Rate Derivatives -- Option Markets, Valuation, and Hedging -- Market Risk Measurement and Management -- Stochastic Interest Rates and the Standard Market Model -- Interest Rate Models -- Exotic Options, Volatility Smile, and Alternative Stochastic Models. | |
520 | |a This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses. | ||
588 | |a Description based on online resource; title from digital title page (viewed on January 26, 2021) | ||
650 | 0 | |a Derivative securities. |0 http://id.loc.gov/authorities/subjects/sh93005704. | |
650 | 0 | |a Financial risk management. |0 http://id.loc.gov/authorities/subjects/sh2005007073. | |
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650 | 7 | |a Capital market. |2 fast |0 (OCoLC)fst00846356. | |
650 | 7 | |a Engineering mathematics. |2 fast |0 (OCoLC)fst00910601. | |
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