03216nam 22006495 450 991046824060332120250610110035.09783030517519303051751910.1007/978-3-030-51751-9(CKB)4100000011558606(DE-He213)978-3-030-51751-9(MiAaPQ)EBC6455975(MiAaPQ)EBC31886959(Au-PeEL)EBL31886959(OCoLC)1225892042(MiAaPQ)EBC6384768(MiAaPQ)EBC29090573(EXLCZ)99410000001155860620201104d2020 u| 0engurnn#008mamaatxtrdacontentcrdamediacrrdacarrierDerivatives Theory and Practice of Trading, Valuation, and Risk Management /by Jiří Witzany1st ed. 2020.Cham :Springer International Publishing :Imprint: Springer,2020.1 online resource (IX, 376 p. 127 illus., 85 illus. in color.)Springer Texts in Business and Economics,2192-43419783030517502 3030517500 Includes bibliographical references and index.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.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.Springer Texts in Business and Economics,2192-4341Capital marketSocial sciencesMathematicsBusiness enterprisesFinanceCapital MarketsMathematics in Business, Economics and FinanceCorporate FinanceCapital market.Social sciencesMathematics.Business enterprisesFinance.Capital Markets.Mathematics in Business, Economics and Finance.Corporate Finance.332.0415Witzany Jiří1966-984891MiAaPQMiAaPQMiAaPQBOOK9910468240603321Derivatives2250482UNINA