Derivatives - Theory and Practice of Trading, Valuation, and Risk Management (Hardcover, 1st ed. 2020)

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.

General

Imprint:	Springer Nature Switzerland AG
Country of origin:	Switzerland
Series:	Springer Texts in Business and Economics
Release date:	November 2020
First published:	2020
Authors:	Jiri Witzany
Dimensions:	235 x 155mm (L x W)
Format:	Hardcover
Pages:	376
Edition:	1st ed. 2020
ISBN-13:	978-3-03-051750-2
Categories:	Books > Business & Economics > Finance & accounting > Finance > Corporate finance Books > Science & Mathematics > Mathematics > Applied mathematics > General Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Corporate finance Books > Money & Finance > Investment & securities > General
LSN:	3-03-051750-0
Barcode:	9783030517502

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