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Derivativestheory and practice of trading, valuation, and risk management /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Derivativesby Jiri Witzany.
Reminder of title:	theory and practice of trading, valuation, and risk management /
Author:	Witzany, Jiri.
Published:	Cham :Springer International Publishing :2020.
Description:	ix, 376 p. :ill. (some col.), digital ;24 cm.
Contained By:	Springer Nature eBook
Subject:	Derivative securities.
Online resource:	https://doi.org/10.1007/978-3-030-51751-9
ISBN:	9783030517519$q(electronic bk.)

Derivativestheory and practice of trading, valuation, and risk management /
Witzany, Jiri.

Derivativestheory and practice of trading, valuation, and risk management /[electronic resource] :by Jiri Witzany. - Cham :Springer International Publishing :2020. - ix, 376 p. :ill. (some col.), digital ;24 cm. - Springer texts in business and economics,2192-4333. - Springer texts in business and economics..

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.

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.

ISBN: 9783030517519$q(electronic bk.)

Standard No.: 10.1007/978-3-030-51751-9doiSubjects--Topical Terms:

200051
Derivative securities.

LC Class. No.: HG6024.A3 / W58 2020

Dewey Class. No.: 332.6457

Derivativestheory and practice of trading, valuation, and risk management /
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