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

Unlimited

Authorized users

Can lend chapters, not whole ebooks

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

1st ed. 2020.

9783030517519
3030517519
9783030517519
3030517500
9783030517502

Cham : Springer International Publishing : Imprint: Springer, 2020.

English

1 online resource (IX, 376 p. 127 illus., 85 illus. in color. :) illustrations.

HG1-HG9999

332.0415

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.

Access limited to authorized users.

text file PDF

Springer texts in business and economics, 2192-4333

Print version: 9783030517533

Online Resources > Ebooks
All Resources