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Derivatives: Theory and Practice of Trading, Valuation, and Risk Management - Couverture rigide

Livre 101 sur 190: Springer Texts in Business and Economics

Witzany, Jiří

 
9783030517502: Derivatives: Theory and Practice of Trading, Valuation, and Risk Management
Couverture rigide
ISBN 10 : 3030517500 ISBN 13 : 9783030517502
Editeur : Springer Nature Switzerland AG, 2020

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

Jiří Witzany is a professor at the Faculty of Finance and Accounting, University of Economics, Prague (Czech Republic). Prior to his work in Prague, he was an Assistant Professor of Mathematics at the University of California (LA, USA) and later worked as the Market and Credit Risk Manager in the major Czech bank Komerční Banka (Société Générale Group). Currently, he teaches courses in financial derivatives, quantitative finance and credit risk modeling for students of financial engineering, finance and financial mathematics. He is also active as a consultant on credit and market risk management including financial derivatives valuation for major Czech and international banks. He is the author or co-author of several monographs and a number of articles in financial or mathematical peer-reviewed journals.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer Nature Switzerland AG
Date d'édition
2020
Langue
anglais
ISBN 10 
3030517500
ISBN 13 
9783030517502
Reliure
Relié
Nombre de pages
385
Coordonnées du fabricant
Springer Nature Customer Service Center GmbH
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