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Derivatives

Name: Derivatives
Brand: Springer Nature Switzerland AG
SKU: 37380046
Price: 21351 HUF
Availability: InStock
Author: Ji&#345;í Witzany
ISBN: 9783030517533

Jiří Witzany

Language

English

Book Paperback

Libristo code: 37380046

Publishers Springer Nature Switzerland AG, November 2021

This book helps students, researchers and quantitative finance practitioners to understand both basi... Full description

Libristo code: 37380046

145 b

21 351 Ft

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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.