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Derivatives

Language EnglishEnglish
Book Paperback
Book Derivatives
Libristo code: 37380046
Publishers Springer Nature Switzerland AG, November 2021
This book helps students, researchers and quantitative finance practitioners to understand both basi... Full description
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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.

About the book

Full name Derivatives
Language English
Binding Book - Paperback
Date of issue 2021
Number of pages 376
EAN 9783030517533
ISBN 3030517535
Libristo code 37380046
Publishers Springer Nature Switzerland AG
Weight 593
Dimensions 155 x 235 x 21

Categories

Economics, Finance, Business & Management > Finance & accounting > Finance > Corporate finance
Economics, Finance, Business & Management > Finance & accounting > Finance > Investment & securities
Mathematics & Science > Mathematics > Applied mathematics
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