Derivatives : Theory and Practice of Trading, Valuation, and Risk Management / by Jiří Witzany.
2020
HG1-HG9999
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Details
Title
Derivatives : Theory and Practice of Trading, Valuation, and Risk Management / by Jiří Witzany.
Author
Witzany, Jiří., author.
Edition
1st ed. 2020.
ISBN
9783030517519
3030517519
9783030517519
3030517500
9783030517502
3030517519
9783030517519
3030517500
9783030517502
Published
Cham : Springer International Publishing : Imprint: Springer, 2020.
Language
English
Description
1 online resource (IX, 376 p. 127 illus., 85 illus. in color. :) illustrations.
Call Number
HG1-HG9999
Dewey Decimal Classification
332.0415
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.
Access Note
Access limited to authorized users.
Digital File Characteristics
text file PDF
Series
Springer texts in business and economics, 2192-4333
Available in Other Form
Print version: 9783030517533
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Online Access
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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.
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.