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Springer Texts in Business and Economics

Derivatives

Theory and Practice of Trading, Valuation, and Risk Management

Authors: Witzany, Jiří

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  • 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 pricingExplains 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
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eBook 85,59 €
price for Spain (gross)
  • ISBN 978-3-030-51751-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 103,99 €
price for Spain (gross)
About this Textbook

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 authors

Jiří Witzany is a professor at the Faculty of Finance and Accounting, University of Economics, Prague (Czech Republic). Prior to his work in Prague, he was an Assistant Professor of Mathematics at the University of California (LA, USA) and later worked as the Market and Credit Risk Manager in the major Czech bank Komerční Banka (Société Générale Group). Currently, he teaches courses in financial derivatives, quantitative finance and credit risk modeling for students of financial engineering, finance and financial mathematics. He is also active as a consultant on credit and market risk management including financial derivatives valuation for major Czech and international banks. He is the author or co-author of several monographs and a number of articles in financial or mathematical peer-reviewed journals.   

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook 85,59 €
price for Spain (gross)
  • ISBN 978-3-030-51751-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 103,99 €
price for Spain (gross)
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Bibliographic Information

Bibliographic Information
Book Title
Derivatives
Book Subtitle
Theory and Practice of Trading, Valuation, and Risk Management
Authors
Series Title
Springer Texts in Business and Economics
Copyright
2020
Publisher
Springer International Publishing
Copyright Holder
The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG
eBook ISBN
978-3-030-51751-9
DOI
10.1007/978-3-030-51751-9
Hardcover ISBN
978-3-030-51750-2
Series ISSN
2192-4333
Edition Number
1
Number of Pages
IX, 376
Number of Illustrations
42 b/w illustrations, 85 illustrations in colour
Topics