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000946535 1001_ $$aWitzany, Jiří.,$$eauthor.$$1https://orcid.org/0000-0001-6886-5236.
000946535 24510 $$aDerivatives :$$bTheory and Practice of Trading, Valuation, and Risk Management /$$cby Jiří Witzany.
000946535 250__ $$a1st ed. 2020.
000946535 264_1 $$aCham :$$bSpringer International Publishing :$$bImprint: Springer,$$c2020.
000946535 300__ $$a1 online resource (IX, 376 p. 127 illus., 85 illus. in color. :)$$billustrations.
000946535 336__ $$atext$$btxt$$2rdacontent
000946535 337__ $$acomputer$$bc$$2rdamedia
000946535 338__ $$aonline resource$$bcr$$2rdacarrier
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000946535 4901_ $$aSpringer Texts in Business and Economics,$$x2192-4333
000946535 5050_ $$aIntroduction -- Forwards and Futures -- Interest Rate Derivatives -- Option Markets, Valuation, and Hedging -- Market Risk Measurement and Management -- Stochastic Interest Rates and the Standard Market Model -- Interest Rate Models -- Exotic Options, Volatility Smile, and Alternative Stochastic Models.
000946535 506__ $$aAccess limited to authorized users.
000946535 520__ $$aThis book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.
000946535 650_0 $$aCapital market.
000946535 650_0 $$aApplied mathematics.
000946535 650_0 $$aEngineering mathematics.
000946535 650_0 $$aBusiness enterprises$$xFinance.
000946535 77608 $$iPrint version:$$z9783030517533
000946535 830_0 $$aSpringer texts in business and economics,$$x2192-4333
000946535 852__ $$bebk
000946535 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-030-51751-9$$zOnline Access$$91397441.1
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000946535 980__ $$aEBOOK
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