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.
| ISBN: | 9783030517533 |
| Publication date: | 6th November 2021 |
| Author: | Jií Witzany |
| Publisher: | Springer Nature Switzerland AG |
| Format: | Paperback |
| Pagination: | 376 pages |
| Series: | Springer Texts in Business and Economics |
| Genres: |
Investment and securities Applied mathematics Corporate finance |
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).
Derivatives features in the following genres: Investment and securities, Applied mathematics, Corporate finance
Paperback. £71.99, down from the £79.99 cover price. Not Available.
Derivatives was written by Jií Witzany and published by Springer Nature Switzerland AG
Derivatives has 376 pages
Yes it is part of Springer Texts in Business and Economics series
£71.99, reduced from £79.99. Not Available.