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Derivatives

Name: Derivatives
Brand: Springer
SKU: 41006997
Price: 109.89 EUR
Availability: InStock
Author: Jiri Witzany
ISBN: 9783030517519

Theory and Practice of Trading, Valuation, and Risk Management

Jiri Witzany

Lingua

Inglese

Libro elettronico Adobe ePub DRM

Codice Libristo: 41006997

Casa editrice Springer, novembre 2020

This book helps students, researchers and quantitative finance practitioners to understand both basi... Descrizione completa

Codice Libristo: 41006997

269 b

109.89 €

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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.