Bibliograph

Derivatives, Theory and Practice of Trading, Valuation, and Risk Management, by Jiří Witzany

Type

Label

Derivatives, Theory and Practice of Trading, Valuation, and Risk Management, by Jiří Witzany

Language

eng

resource.imageBitDepth

Literary Form

non fiction

Main title

Derivatives

Medium

electronic resource

Nature of contents

dictionaries

Oclc number

1225892042

Responsibility statement

by Jiří Witzany

Series statement

Springer Texts in Business and Economics,, 2192-4333Springer eBooks.

Sub title

Theory and Practice of Trading, Valuation, and Risk Management

Summary

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.--, Provided by publisher

Table Of Contents

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

Creator