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Derivatives
Theory and Practice of Trading, Valuation, and Risk Management
Udgivet af Springer Nature Switzerland AG
ISBN
9783030517533
Om denne bog
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,…
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Bogdetaljer
Forfatter
Jiri Witzany
Forlag
Springer Nature Switzerland AG
Kategori
Virksomhedsøkonomi
ISBN-13
9783030517533
EAN
9783030517533
Format
Hæftet
Sprog
Engelsk
sider
376
Undertitel
- Theory and Practice of Trading, Valuation, and Risk Management
Produktbeskrivelse
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.
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