Authors:
- 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
Part of the book series: Springer Texts in Business and Economics (STBE)
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Table of contents (8 chapters)
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Front Matter
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Back Matter
About this book
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.
Authors and Affiliations
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Faculty of Finance & Accounting, University of Economics Prague, Prague, Czech Republic
Jiří Witzany
About the author
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.
Bibliographic Information
Book Title: Derivatives
Book Subtitle: Theory and Practice of Trading, Valuation, and Risk Management
Authors: Jiří Witzany
Series Title: Springer Texts in Business and Economics
DOI: https://doi.org/10.1007/978-3-030-51751-9
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2020
Hardcover ISBN: 978-3-030-51750-2Published: 05 November 2020
Softcover ISBN: 978-3-030-51753-3Published: 06 November 2021
eBook ISBN: 978-3-030-51751-9Published: 04 November 2020
Series ISSN: 2192-4333
Series E-ISSN: 2192-4341
Edition Number: 1
Number of Pages: IX, 376
Number of Illustrations: 42 b/w illustrations, 85 illustrations in colour
Topics: Capital Markets, Applications of Mathematics, Business Finance