Derivatives: Theory and Practice of Trading, Valuation, and Risk Management (1st ed. 2020) (Springer Texts in Business and Economics)
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- 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.
- Copyright:
- 2020
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783030517519
- Related ISBNs:
- 9783030517502
- Publisher:
- Springer International Publishing
- Date of Addition:
- 12/06/20
- Copyrighted By:
- Springer
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.