Derivatives

Rubriek: Textual/Printed/Reference Materials - Boek

Prijs: € 90.99

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Verzending:
Uiterlijk 29 november in huis

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.

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.

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Oorspronkelijke releasedatum: 06 november 2021

Aantal pagina's: 376

Hoofdauteur: Jiri Witzany

Hoofduitgeverij: Springer Nature Switzerland AG

Editie: 1st ed. 2020

Product breedte: 155 mm

Product lengte: 235 mm

Verpakking breedte: 155 mm

Verpakking hoogte: 235 mm

Verpakking lengte: 235 mm

Verpakkingsgewicht: 593 g

EAN: 9783030517533

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