Derivatives : theory and practice of trading, valuation, and risk management /

Derivatives : theory and practice of trading, valuation, and risk management /

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Bibliographic Details
Author / Creator:	Witzany, Jiří, 1966- author.
Imprint:	Cham, Switzerland : Springer, [2020]
Description:	1 online resource (ix, 376 pages) : illustrations (some color).
Language:	English
Series:	Springer texts in business and economics, 2192-4333 Springer texts in business and economics.
Subject:	Derivative securities. Financial risk management. Financial risk management. Derivative securities. Business enterprises -- Finance. Capital market. Engineering mathematics.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12609348

Hidden Bibliographic Details
ISBN:	3030517519 9783030517519 9783030517502 3030517500
Digital file characteristics:	text file PDF
Notes:	Includes bibliographical references and index. Description based on online resource; title from digital title page (viewed on January 26, 2021).
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.
Other form:	Print version: 9783030517502 Print version: 9783030517526 Print version: 9783030517533
Standard no.:	10.1007/978-3-030-51751-9

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.