Derivatives
Theory and Practice of Trading, Valuation, and Risk Management
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Beschreibung
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.
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.
Covers basic to advanced topics, estimation methods, and modeling of financial and commodity derivatives Provides an overview of recent regulatory requirements related to market risk management and derivatives pricing Explains estimation methods like Markov Chain Monte Carlo (MCMC) and Particle Filters, among others Demonstrates key continuous time modelling concepts using the infinitesimals and hyper-finite probability spaces
Autor*in
Jiří Witzany
Themen in »Derivatives«
Derivatives trading Valuation of derivatives Risk management Forwards and futures Interest rate derivatives OTC contracts