Derivatives

Theory and Practice of Trading, Valuation, and Risk Management

By:

Jiri Witzany

Format:

Paperback / softback

Series:

Springer Texts in Business and Economics

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Description

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.

Author Biography:

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.

Release date Australia

November 6th, 2021

Author

Jiri Witzany

Audience

Professional & Vocational

Edition

1st ed. 2020

Illustrations

85 Illustrations, color; 42 Illustrations, black and white; IX, 376 p. 127 illus., 85 illus. in color.

Pages

376

Series

Springer Texts in Business and Economics

ISBN-13

9783030517533

Product ID

35565734

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